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An improved pairs trading strategy based on switching regime volatility

Author

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  • Marco Bee
  • Giulio Gatti

Abstract

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Suggested Citation

  • Marco Bee & Giulio Gatti, 2015. "An improved pairs trading strategy based on switching regime volatility," DEM Discussion Papers 2015/13, Department of Economics and Management.
    • Handle: RePEc:trn:utwpem:2015/13
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    Cited by:

    1. Jeff Stephenson & Bruce Vanstone & Tobias Hahn, 2021. "A Unifying Model for Statistical Arbitrage: Model Assumptions and Empirical Failure," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 943-964, December.
    2. Endres, Sylvia & Stübinger, Johannes, 2018. "A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns," FAU Discussion Papers in Economics 07/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.

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