Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models

2014 ◽  
pp. 127-140 ◽  
Author(s):  
Cathy W. S. Chen ◽  
Max Chen ◽  
Shu-Yu Chen
Keyword(s):  
Garch Models ◽  
Pairs Trading ◽  
Threshold Autoregressive

DCC-Garch Models Using Islamic Market and European Market Indices

2017 ◽  
Vol 04 ◽  
pp. 01-20
Author(s):  
Sabbah Gueddoudj ◽  
Keyword(s):  
European Market ◽  
Garch Models

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

Optimal Parameters to Pairs Trading

2012 ◽  
Author(s):  
Kirill V. Temlyakov
Keyword(s):  
Optimal Parameters ◽  
Pairs Trading
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