Citations
892 | Noise trader risk in financial markets, - Long, Shleifer, et al. - 1990 |
736 | Fonctions de répartition à n dimensions et leurs marges. Publications de l’Institut Statistique de l’Université de Paris - Sklar - 1959 |
346 | Empirical properties of asset returns: stylized facts and statistical issues,” Quantitative Finance
- Cont
- 2001
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Citation Context ...ns. Under this assumption, the distance method can without doubt fully describe the associations between the two stocks. However, the current consensus is that stocks returns are rarely joint normal (=-=Cont, 2001-=-), and thus non-linear associations, such as tail dependence, also play an important role in the modeling of stock returns (Ane and Kharoubi, 2003). Given this concern, the distance method no longer a... |
314 |
Evidence of predictable behavior of security returns,
- Jegadeesh
- 1990
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Citation Context ...distance strategy across-the-board, that is, for the top 5, top 20 and top 101-120 stock pairs. Despite the positive results shown in Panel A, we acknowledge the concern regarding the bid-ask spread (=-=Jegadeesh, 1990-=-; Jegadeesh and Titman, 1995, Conrad and Kaul, 1989), which is mentioned in Gatev et al. (2006) as a practical issue faced in trading. To alleviate this concern, we also implemented one-day waiting, a... |
184 | Transactions costs and investment style: An inter-exchange analysis of institutional equity trades - Keim, Madhavan - 1997 |
115 | Stocks Are Special Too: An Analysis of the Equity Lending - Geczy, Reed - 2002 |
61 | Overreaction, delayed reaction and contrarian profits. - Jegadeesh, Titman - 1995 |
45 | Pairs trading: performance of a relative-value arbitrage rule.
- Gatev, Goetzmann, et al.
- 2006
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Citation Context ... close relationship during the formation period, with contemporaneously similar upward and downward movements. This approach is found to best approximate the way in which actual traders choose pairs (=-=Gatev et al., 2006-=-). 9 Although the actual number of trading days for each month varies, we assume 21 trading days for each. Hence, “12-month formation period” and “six-month trading period” may not be strictly accurat... |
25 |
Mean reversion in short-horizon in expected returns.
- Conrad, Kaul
- 1989
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Citation Context ...for the top 5, top 20 and top 101-120 stock pairs. Despite the positive results shown in Panel A, we acknowledge the concern regarding the bid-ask spread (Jegadeesh, 1990; Jegadeesh and Titman, 1995, =-=Conrad and Kaul, 1989-=-), which is mentioned in Gatev et al. (2006) as a practical issue faced in trading. To alleviate this concern, we also implemented one-day waiting, as recommended by Gatev et al. (2006). Panel B of Ta... |
22 |
Dependence structure and risk measure.
- Ane, Kharoubi
- 2001
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Citation Context ...current consensus is that stocks returns are rarely joint normal (Cont, 2001), and thus non-linear associations, such as tail dependence, also play an important role in the modeling of stock returns (=-=Ane and Kharoubi, 2003-=-). Given this concern, the distance method no longer appears optimal, and may cause traders to miss important trading opportunities or engage in trades at non-optimal positions due to a loss of depend... |
5 | Does simple pairs trading still work?” - Do, Faff - 2010 |
4 | Understanding the profitability of pairs trading. UC Berkeley Working paper - Andrade, Pietro, et al. - 2005 |
4 | Canonical vine copulas in the context of modern portfolio management: are they worth it?” - Low, Alcock, et al. - 2013 |
4 | An Introduction to Copulas, 2nd ed - NELSON - 2006 |
1 |
New tools for spread trading
- Ferreira
- 2008
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Citation Context ...ure the optimal dependence structure between the stocks, and trade accordingly. The literature contains various studies that conduct preliminary trials of the application of copulas to pairs trading (=-=Ferreira, 2008-=-; Liew and Wu, 2013). However, their use of copulas for the direct modeling of non-stationary time-series stock prices lacks theoretical support, and are thus restricted to particular pairs and certai... |
1 |
Pairs trading: A copula approach
- Liew, Wu
- 2013
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Citation Context ...dependence structure between the stocks, and trade accordingly. The literature contains various studies that conduct preliminary trials of the application of copulas to pairs trading (Ferreira, 2008; =-=Liew and Wu, 2013-=-). However, their use of copulas for the direct modeling of non-stationary time-series stock prices lacks theoretical support, and are thus restricted to particular pairs and certain data structures. ... |
1 |
Evaluation of pairs-trading strategy at the Brazilian financial market
- Perlin
- 2009
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Citation Context ...mmonly applied. This simple relative-value strategy has the advantage of ease of implementation, and its effectiveness has been documented in different time periods and markets (Andrada et al., 2005; =-=Perlin, 2009-=-; Pizzutilo, 2013). Although the distance 3method is generally recognized as a model-free approach, as it involves no explicit assumption concerning the distribution of stock returns, in this paper w... |
1 |
A note on the effectiveness of pairs trading for individual investors
- Pizzutilo
- 2013
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Citation Context .... This simple relative-value strategy has the advantage of ease of implementation, and its effectiveness has been documented in different time periods and markets (Andrada et al., 2005; Perlin, 2009; =-=Pizzutilo, 2013-=-). Although the distance 3method is generally recognized as a model-free approach, as it involves no explicit assumption concerning the distribution of stock returns, in this paper we argue that its ... |