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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. Sascha Wilkens, 2025. "Pairs trading in the German stock market: is there still life in the old dog?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 39(2), pages 259-297, June.
  3. Fabian Krause & Jan-Peter Calliess, 2024. "End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture," Papers 2402.08233, arXiv.org.
  4. 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.
  5. 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).
  6. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  7. 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.
  8. Yen-Wu Ti & Tian-Shyr Dai & Kuan-Lun Wang & Hao-Han Chang & You-Jia Sun, 2024. "Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2717-2745, November.
  9. Zihao Guo & Hanqing Jin & Jiaqi Kuang & Zhongmin Qian & Jinghan Wang, 2025. "Signature Decomposition Method Applying to Pair Trading," Papers 2505.05332, arXiv.org, revised Oct 2025.
  10. 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.
  11. Derek Singh & Shuzhong Zhang, 2020. "Robust Arbitrage Conditions for Financial Markets," Papers 2004.09432, arXiv.org.
  12. Damian Lebied'z & Robert 'Slepaczuk, 2026. "Dynamic Multi-Pair Trading Strategy in Cryptocurrency Markets with Deep Reinforcement Learning," Papers 2606.04574, arXiv.org, revised Jun 2026.
  13. Masood Tadi & Irina Kortchmeski, 2021. "Evaluation of Dynamic Cointegration-Based Pairs Trading Strategy in the Cryptocurrency Market," Papers 2109.10662, arXiv.org.
  14. Marianna Brunetti & Roberta De Luca, 2023. "Pre-selection in cointegration-based pairs trading," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(5), pages 1611-1640, December.
  15. 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.
  16. 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.
  17. Ziping Zhao & Rui Zhou & Zhongju Wang & Daniel P. Palomar, 2018. "Optimal Portfolio Design for Statistical Arbitrage in Finance," Papers 1803.02974, arXiv.org.
  18. 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.
  19. Miroslav Fil, 2020. "Gold Standard Pairs Trading Rules: Are They Valid?," Papers 2010.01157, arXiv.org.
  20. Christian Rein & Ludger Ruschendorf & Thorsten Schmidt, 2019. "Generalized statistical arbitrage concepts and related gain strategies," Papers 1907.09218, arXiv.org, revised Jul 2019.
  21. Johannes St binger & Jens Bredthauer, 2017. "Statistical Arbitrage Pairs Trading with High-frequency Data," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 7(4), pages 650-662.
  22. Hanxiong Zhang & Andrew Urquhart, 2020. "Do momentum and reversal strategies work in commodity futures? A comprehensive study," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 12(4), pages 375-409, April.
  23. Iwata, Tsuyoshi & Orpiszewski, Tomasz & Thompson, Mark, 2026. "Betting against ESG Sinners: Evidence from short selling around the world," Journal of Behavioral and Experimental Finance, Elsevier, vol. 49(C).
  24. Michael Senescall & Rand Kwong Yew Low, 2024. "Quantitative Portfolio Management: Review and Outlook," Mathematics, MDPI, vol. 12(18), pages 1-25, September.
  25. Mahmut Bağcı & Pınar Kaya Soylu, 2024. "Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
  26. Tian-Shyr Dai & Yi-Jen Luo & Hao-Han Chang & Chu-Lan Kao & Kuan-Lun Wang & Liang-Chih Liu, 2024. "Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading," Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1391-1411, November.
  27. Marianna Brunetti & Roberta Luca, 2023. "Correction to: Pairs trading in the index options market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 175-176, March.
  28. Mar Grande & Javier Borondo, 2025. "Embedding pairs trading in market networks: a network science approach to portfolio construction," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-11, December.
  29. 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.
  30. Li, Yiyun & Law, Keith K.F., 2021. "Systematic risk in pairs trading and dynamic parameterization," Economics Letters, Elsevier, vol. 202(C).
  31. Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2025. "A Markowitz approach to managing a dynamic basket of moving-band statistical arbitrages," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 377-385, July.
  32. 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.
  33. 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.
  34. Jian Guo & Heung-Yeung Shum, 2024. "Large Investment Model," Papers 2408.10255, arXiv.org, revised Aug 2024.
  35. Eric Vansteenberghe, 2026. "Quantitative Methods in Finance," Papers 2601.12896, arXiv.org, revised Sep 2026.
  36. 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.
  37. Zihao Guo & Hanqing Jin & Jiaqi Kuang & Zhongmin Qian & Jinghan Wang, 2026. "Signature Decomposition Method Applying to Pair Trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(3), pages 582-603, March.
  38. 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).
  39. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697, arXiv.org, revised Sep 2018.
  40. 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.
  41. Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "On statistical arbitrage under a conditional factor model of equity returns," Papers 2309.02205, arXiv.org.
  42. Masood Tadi & Jiří Witzany, 2025. "Copula-based trading of cointegrated cryptocurrency Pairs," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-32, December.
  43. Raymond C. W. Leung & Yu-Man Tam, 2021. "Statistical Arbitrage Risk Premium by Machine Learning," Papers 2103.09987, arXiv.org.
  44. 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, revised Dec 2024.
  45. Mahmut Bağcı & Pınar Kaya Soylu, 2026. "The Optimal Threshold Selection for High-Frequency Pairs Trading via Supervised Machine Learning Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 67(4), pages 2399-2427, April.
  46. Bernardo Raimundo & Jorge Miguel Bravo, 2026. "Forecasting meets Portfolio Theory: A Bibliometric Approach to Decision-Making under Uncertainty," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 13(1), pages 1-23, December.
  47. Guo, Minjia & Liu, Jianhe & Luo, Ziping & Han, Xiao, 2024. "Deep reinforcement learning for pairs trading: Evidence from China black series futures," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 981-993.
  48. Yuhee Kwon & Youngsoo Choi, 2026. "Combined Effects of Fat‐Tail and Spread Forecasting on Pairs Trading: A Hybrid Model Based on Integrating VAR With GRU Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(3), pages 1110-1128, April.
  49. 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.
  50. 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).
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. Kerstin Lamert & Benjamin R. Auer & Ralf Wunderlich, 2025. "Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 101(2), pages 163-218, April.
  56. 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.
  57. Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
  58. 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.
  59. 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.
  60. Fabian Waldow & Matthias Schnaubelt & Christopher Krauss & Thomas Günter Fischer, 2021. "Machine Learning in Futures Markets," JRFM, MDPI, vol. 14(3), pages 1-14, March.
  61. Kristoffer Glover & Goran Peskir, 2024. "Quickest Detection Problems for Ornstein–Uhlenbeck Processes," Mathematics of Operations Research, INFORMS, vol. 49(2), pages 1045-1064, May.
  62. 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.
  63. Thomas Günter Fischer & Christopher Krauss & Alexander Deinert, 2019. "Statistical Arbitrage in Cryptocurrency Markets," JRFM, MDPI, vol. 12(1), pages 1-15, February.
  64. 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.
  65. 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.
  66. 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, International Journal of Economics and Financial Issues, vol. 12(2), pages 84-95, March.
  67. Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024. "A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages," Papers 2412.02660, arXiv.org.
  68. 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.
  69. Kasper Johansson & Thomas Schmelzer & Stephen Boyd, 2024. "Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization," Papers 2402.08108, arXiv.org.
  70. 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".
  71. 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 Oct 2025.
  72. Sahar Albosaily & Serguei Pergamenshchikov, 2018. "Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility," Papers 1809.08139, arXiv.org.
  73. Gianmarco Morbelli & Sven Karbach & Mike Derksen, 2026. "Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals," Papers 2606.31387, arXiv.org, revised Jul 2026.
  74. 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.
  75. Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
  76. 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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