Pairs Trading: Quantitative Methods and Analysis

By G. Vidyamurthy. 2004

379 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8aeec49b176adc1c4b6ba6b7d7fc0b47ce07f73a

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Citations in the corpus

The profitability of pairs trading strategies: distance, cointegration and copula methods (2016, unknown): “Vidyamurthy (2004) provides a basic framework to apply cointegration to pairs trading.”
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013, unknown): “For further discussions on statistical arbitr ge approaches based on mean-reverting spreads and many illustrative numerical xamples the reader is referred to Pole (2007) and Vidyamurthy (2004).”
Pairs trading in the UK equity market: risk and return (2016, unknown): “Vidyamurthy (2004) and Burgess (2005) utilize cointegration for pairs selection, while Papadakis and Wysocki (2007) expand on the methodology of Gatev et al. (2006) by examining the impact of accounting information events (i.e. earnings announcements and analyst forecasts) on the level of returns…”
Analytic Solutions for Optimal Statistical Arbitrage Trading (2010, methodology): “One example is the method of pairs trading which has been the focus of several recent studies [2,3,7].”
From dissonance to resonance: cognitive interdependence in quantitative finance (2012, unknown): “Writing in the aftermath of one of the most automated (and lethal) wars to date, Weiner (1948), McCulloch & Pitts (1943) and Von Foerster (1958) laid out the”
Pairs trading: A copula approach (2013, methodology): “…commonly established techniques are the distance strategy 13& 2013 Macmillan Publishers Ltd. 1753-9641 Journal of Derivatives & Hedge Funds Vol. 19, 1, 12–30 (Gatev et al, 2006; Perlin, 2009; Do and Faff, 2010) and cointegration strategy (Vidyamurthy, 2004; Lin et al, 2006; Galenko et al, 2012).”
Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Vidyamurthy (2004) uses Arbitrage Pricing Theory (APT) of Ross (1976) to identify stocks with similar common return components.”
Modelling and Measuring Price Discovery in Commodity Markets (2010, unknown): “In addition, it shows 1 Taylor (1988) and Vidyamurthy (2004) in the PPP and pairs trading literature respectively consider a cointegrating vector different from (1,−1).”
Developing Arbitrage Strategy in High-frequency Pairs Trading with Filterbank CNN Algorithm (2018, background): “In [3], it is found that the two correlated securities might have the cointegration when they comply with random walk theory.”
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, unknown): “return per unit time. Gregory et al. (2010) also apply this approach to log-spread following the CIR and GARCH diﬀusion models. Other timing strategies adopted by practitioners have been discussed in Vidyamurthy (2004). On the other hand, the related problem of constructing portfolios and hedging wi”
Pairs trading and outranking: The multi-step-ahead forecasting case (2010, methodology): “Works using this methodology include Vidyamurthy (2004), Lin et al. (2006) and Galenko et al. (2007).”