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Pairs trading — Selection via scoring systems

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  • Reichmann, Lukas

Abstract

In this Paper I determine the driving factors for successful stock pairs to further improve the pairs selection process while utilizing cointegration methods. I test my selection based on regression coefficients on two different trading approaches which both are based on cointegration, but handle identical pairs selections in consecutive periods differently. This is tested against the standard selection procedure based on the sum of squared distances. According to my findings I can identify the possible driving forces for successful stock pair selection and generate more competitive returns.

Suggested Citation

  • Reichmann, Lukas, 2026. "Pairs trading — Selection via scoring systems," Finance Research Letters, Elsevier, vol. 93(C).
    • Handle: RePEc:eee:finlet:v:93:y:2026:i:c:s154461232600173x
    DOI: 10.1016/j.frl.2026.109642
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