Mean Reversion and Beta-Zero Targeting: A Long-Short Equity Trading Strategy

2018 ◽  
Author(s):  
Rajit Krishnamurthy
Keyword(s):  
Mean Reversion ◽  
Trading Strategy ◽  
Equity Trading

Composite Seasonal Equity Trading Strategy

2019 ◽  
Author(s):  
Radovan Vojtko ◽  
Matus Padysak
Keyword(s):  
Trading Strategy ◽  
Equity Trading

scholarly journals European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return

2013 ◽  
Vol 1 (2) ◽  
pp. 329 ◽  
Author(s):  
Michael Lucey ◽  
Don Walshe
Keyword(s):  
Minimum Distance ◽  
Mean Reversion ◽  
Trading Strategy ◽  
Share Price ◽  
Trading Rule ◽  
Pairs Trading ◽  
Risk And Return ◽  
Rule Based ◽  
Data Frequency ◽  
European Equity

<p><em>This article examines an equity pairs trading strategy using daily, weekly and monthly European share price data over the period 1998 – 2007. The authors show that when stocks are matched into pairs with minimum distance between normalised historical prices, a simple trading rule based on volatility between these prices yields annualised raw returns of up to 15% for the weekly data frequency. Bootstrap results suggest returns from the strategy are attributable to skill rather than luck, while insignificant beta coefficients provide evidence that this is a market neutral strategy. Resistance of the strategy’s returns to reversal factors suggest pairs trading is fundamentally different to previously documented reversal strategies based on concepts such as mean reversion.</em><em></em></p>

Mean Reversion in the United Kingdom Stock Market and its Implications for a Profitable Trading Strategy

1996 ◽  
Vol 23 (9-10) ◽  
pp. 1379-1395 ◽  
Author(s):  
David A. Sauer ◽  
Carl R. Chen
Keyword(s):  
United Kingdom ◽  
Stock Market ◽  
Mean Reversion ◽  
Trading Strategy ◽  
The United Kingdom

scholarly journals Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 179
Author(s):  
Karen Balladares ◽  
José Pedro Ramos-Requena ◽  
Juan Evangelista Trinidad-Segovia ◽  
Miguel Angel Sánchez-Granero
Keyword(s):  
Emerging Markets ◽  
Market Efficiency ◽  
Hurst Exponent ◽  
Mean Reversion ◽  
Trading Strategy ◽  
Emerging Countries ◽  
Pairs Trading ◽  
Global Test ◽  
Statistical Arbitrage

In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency. We will show that our strategy is more profitable in emerging ones and in periods with greater uncertainty. Our method consists of a Pairs Trading strategy based on the concept of mean reversion by selecting pair series that have the lower Hurst exponent. We also show that the pair selection with the lowest Hurst exponent has sense, and the lower the Hurst exponent of the pair series, the better the profitability that is obtained. The sample is composed by the 50 largest capitalized companies of 39 countries, and the performance of the strategy is analyzed during the period from 1 January 2000 to 10 April 2020. For a deeper analysis, this period is divided into three different subperiods and different portfolios are also considered.

Optimizing Moving-Average Trading Strategy: Evidence in Malaysia Equity Market

2016 ◽  
Author(s):  
Afiruddin Tapa Tapa
Keyword(s):  
Moving Average ◽  
Equity Market ◽  
Trading Strategy

Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies

CFA Digest ◽  
2000 ◽  
Vol 30 (4) ◽  
pp. 64-65
Author(s):  
Roger Ignatius
Keyword(s):  
Stock Markets ◽  
Mean Reversion ◽  
Investment Strategies

Learning and Mean Reversion in Asset Returns

CFA Digest ◽  
2000 ◽  
Vol 30 (3) ◽  
pp. 56-57
Author(s):  
William H. Sackley
Keyword(s):  
Mean Reversion ◽  
Asset Returns

Nonlinear Mean Reversion in Stock Prices

CFA Digest ◽  
2008 ◽  
Vol 38 (4) ◽  
pp. 37-38
Author(s):  
Michael Kobal
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Nonlinear Mean Reversion

Equity Trading Capacity Revisited: Growth, Fragmentation and Fluidity

CFA Digest ◽  
2007 ◽  
Vol 37 (4) ◽  
pp. 69-70
Author(s):  
Charles F. Peake
Keyword(s):  
Equity Trading

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.

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