Evaluation of pairs-trading strategy at the Brazilian financial market
By M. Perlin. 2009
126 citations recorded by the source corpus.
Subfields: Accounting, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/8a17651b0c71e259358c78d9dd777d0143e2d755
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In Accounting
In Finance
In Management Science and Operations Research
Citations in the corpus
- Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013, unknown): “…Rio de Janeiro, Vol. 11, No. 1, March 2013 51 other authors who used the methodology proposed by Gatevet al. (2006) (for example Nath, 2006, Perlin, 2009) and market professionals who have used bollinger bands, in this paper we employ the methodology of cointegration to develop a pairs…”
- Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Perlin (2007, 2009) also test the advantages of quasi-multivariate pairs trading versus univariate pairs trading.”
- Pairs trading in the UK equity market: risk and return (2016, unknown): “(see, for example, Nath (2003), Hong and Susmel (2004), Andrade, Pietro, and Seasholes (2005), Perlin (2007), Perlin (2009), Gatev, Goetzmann, and Rouwenhorst (2006) and Do and Faff (2010)).”
- Pairs trading: A copula approach (2013, methodology): “(Gatev et al, 2006; Perlin, 2009; Do and Faff, 2010) and cointegration strategy (Vidyamurthy,”