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Statistical Arbitrage Pairs Trading Strategies: Review And Outlook

Citations

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Cited by:

  1. Weiguang Han & Boyi Zhang & Qianqian Xie & Min Peng & Yanzhao Lai & Jimin Huang, 2023. "Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning," Papers 2301.10724, arXiv.org, revised Feb 2023.
  2. Fabian Krause & Jan-Peter Calliess, 2024. "End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture," Papers 2402.08233, arXiv.org.
  3. Fenghui Yu & Wai-Ki Ching & Chufang Wu & Jia-Wen Gu, 2023. "Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach," Journal of Optimization Theory and Applications, Springer, vol. 196(1), pages 36-55, January.
  4. Gianfreda, Angelica & Maranzano, Paolo & Parisio, Lucia & Pelagatti, Matteo, 2023. "Testing for integration and cointegration when time series are observed with noise," Economic Modelling, Elsevier, vol. 125(C).
  5. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  6. Christian Rein & Ludger Rüschendorf & Thorsten Schmidt, 2021. "Generalized statistical arbitrage concepts and related gain strategies," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 563-594, April.
  7. Flori, Andrea & Regoli, Daniele, 2021. "Revealing Pairs-trading opportunities with long short-term memory networks," European Journal of Operational Research, Elsevier, vol. 295(2), pages 772-791.
  8. Derek Singh & Shuzhong Zhang, 2020. "Robust Arbitrage Conditions for Financial Markets," Papers 2004.09432, arXiv.org.
  9. Masood Tadi & Irina Kortchmeski, 2021. "Evaluation of Dynamic Cointegration-Based Pairs Trading Strategy in the Cryptocurrency Market," Papers 2109.10662, arXiv.org.
  10. José Cerda & Nicolás Rojas-Morales & Marcel C. Minutolo & Werner Kristjanpoller, 2022. "High Frequency and Dynamic Pairs Trading with Ant Colony Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1251-1275, March.
  11. Wang, Jai-Jen & Lee, Jin-Ping & Zhao, Yang, 2018. "Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 173-184.
  12. Ziping Zhao & Rui Zhou & Zhongju Wang & Daniel P. Palomar, 2018. "Optimal Portfolio Design for Statistical Arbitrage in Finance," Papers 1803.02974, arXiv.org.
  13. Law, K.F. & Li, W.K. & Yu, Philip L.H., 2018. "A single-stage approach for cointegration-based pairs trading," Finance Research Letters, Elsevier, vol. 26(C), pages 177-184.
  14. Miroslav Fil, 2020. "Gold Standard Pairs Trading Rules: Are They Valid?," Papers 2010.01157, arXiv.org.
  15. Christian Rein & Ludger Ruschendorf & Thorsten Schmidt, 2019. "Generalized statistical arbitrage concepts and related gain strategies," Papers 1907.09218, arXiv.org, revised Jul 2019.
  16. Johannes St binger & Jens Bredthauer, 2017. "Statistical Arbitrage Pairs Trading with High-frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 650-662.
  17. Marianna Brunetti & Roberta De Luca, 2023. "Pairs trading in the index options market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 145-173, March.
  18. Sahar Albosaily & Serguei Pergamenchtchikov, 2021. "Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility," Stats, MDPI, vol. 4(4), pages 1-15, November.
  19. Li, Yiyun & Law, Keith K.F., 2021. "Systematic risk in pairs trading and dynamic parameterization," Economics Letters, Elsevier, vol. 202(C).
  20. Stübinger, Johannes & Endres, Sylvia, 2017. "Pairs trading with a mean-reverting jump-diffusion model on high-frequency data," FAU Discussion Papers in Economics 10/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  21. Vladimír Holý & Michal Černý, 2022. "Bertram’s pairs trading strategy with bounded risk," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 667-682, June.
  22. GholamReza Keshavarz Haddad & Hassan Talebi, 2023. "The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 193-207, January.
  23. Gupta, Kartikay & Chatterjee, Niladri, 2020. "Selecting stock pairs for pairs trading while incorporating lead–lag relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  24. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697, arXiv.org, revised Sep 2018.
  25. Philippe Goulet Coulombe & Maximilian Goebel, 2023. "Maximally Machine-Learnable Portfolios," Papers 2306.05568, arXiv.org, revised Apr 2024.
  26. Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "On statistical arbitrage under a conditional factor model of equity returns," Papers 2309.02205, arXiv.org.
  27. Raymond C. W. Leung & Yu-Man Tam, 2021. "Statistical Arbitrage Risk Premium by Machine Learning," Papers 2103.09987, arXiv.org.
  28. Kerstin Lamert & Benjamin R. Auer & Ralf Wunderlich, 2023. "Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion," Papers 2311.15635, arXiv.org.
  29. Marianna Brunetti & Roberta De Luca, 2021. "Pairs Trading In The Index Options Market," CEIS Research Paper 512, Tor Vergata University, CEIS, revised 02 Sep 2021.
  30. Ning Fu & Mingu Kang & Joongi Hong & Suntae Kim, 2024. "Enhanced Genetic-Algorithm-Driven Triple Barrier Labeling Method and Machine Learning Approach for Pair Trading Strategy in Cryptocurrency Markets," Mathematics, MDPI, vol. 12(5), pages 1-21, March.
  31. Philippe Goulet Coulombe & Maximilian Gobel, 2023. "Maximally Machine-Learnable Portfolios," Working Papers 23-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Apr 2023.
  32. Lin, Tsai-Yu & Chen, Cathy W.S. & Syu, Fong-Yi, 2021. "Multi-asset pair-trading strategy: A statistical learning approach," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  33. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
  34. Marianna Brunetti & Roberta De Luca, 2020. "Pre-selection in Cointegration-based Pairs Trading," CEIS Research Paper 500, Tor Vergata University, CEIS, revised 10 Mar 2021.
  35. Sühan Altay & Katia Colaneri & Zehra Eksi, 2018. "Pairs Trading Under Drift Uncertainty And Risk Penalization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-24, November.
  36. Bernardo D’Auria & Alessandro Ferriero, 2020. "A Class of Itô Diffusions with Known Terminal Value and Specified Optimal Barrier," Mathematics, MDPI, vol. 8(1), pages 1-14, January.
  37. Yongli Li & Tianchen Wang & Baiqing Sun & Chao Liu, 2022. "Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-36, December.
  38. Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
  39. Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
  40. Sabino da Silva, Fernando A.B. & Ziegelmann, Flavio A. & Caldeira, João F., 2023. "A pairs trading strategy based on mixed copulas," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 16-34.
  41. Han, Chulwoo & He, Zhaodong & Toh, Alenson Jun Wei, 2023. "Pairs trading via unsupervised learning," European Journal of Operational Research, Elsevier, vol. 307(2), pages 929-947.
  42. Fabian Waldow & Matthias Schnaubelt & Christopher Krauss & Thomas Günter Fischer, 2021. "Machine Learning in Futures Markets," JRFM, MDPI, vol. 14(3), pages 1-14, March.
  43. Ariel Neufeld & Julian Sester & Daiying Yin, 2022. "Detecting data-driven robust statistical arbitrage strategies with deep neural networks," Papers 2203.03179, arXiv.org, revised Feb 2024.
  44. Thomas Günter Fischer & Christopher Krauss & Alexander Deinert, 2019. "Statistical Arbitrage in Cryptocurrency Markets," JRFM, MDPI, vol. 12(1), pages 1-15, February.
  45. Yu, Philip L.H. & Lu, Renjie, 2017. "Cointegrated market-neutral strategy for basket trading," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 112-124.
  46. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
  47. L.J. Basson & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 84-95, March.
  48. Danni Chen & Jing Cui & Yan Gao & Leilei Wu, 2017. "Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(5), pages 1237-1264, December.
  49. Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024. "Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization," Papers 2402.08108, arXiv.org.
  50. Marianna Brunetti & Roberta De Luca, 2022. "Sensitivity of Profitability in Cointegration-Based Pairs Trading," CEIS Research Paper 540, Tor Vergata University, CEIS, revised 11 Apr 2022.
  51. Vladim'ir Hol'y & Petra Tomanov'a, 2018. "Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy," Papers 1811.09312, arXiv.org, revised Jul 2022.
  52. Sahar Albosaily & Serguei Pergamenshchikov, 2018. "Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility," Papers 1809.08139, arXiv.org.
  53. Weiguang Han & Jimin Huang & Qianqian Xie & Boyi Zhang & Yanzhao Lai & Min Peng, 2023. "Mastering Pair Trading with Risk-Aware Recurrent Reinforcement Learning," Papers 2304.00364, arXiv.org.
  54. Marianna Brunetti & Roberta de Luca, 2022. "Sensitivity of profitability in cointegration-based pairs trading," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0090, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  55. Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
  56. Fernando Caneo & Werner Kristjanpoller, 2021. "Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4424-4440, July.
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