Pairs Trading: Performance of a Relative Value Arbitrage Rule

By Evan G. Gatev, W. Goetzmann, K. Rouwenhorst. 1998

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Citations in the corpus

Statistical Arbitrage in Cryptocurrency Markets (2019, methodology): “Hence, we have followed Gatev et al. (2006) and representatives of the high-frequency pairs trading literature—see Bowen and Hutchinson (2016); Liu et al. (2017), and only trade (i) when volume is present for a coin and (ii) with a one period gap after signal generation.”
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2017, methodology): “Typical approaches range from plain vanilla pairs trading in the spirit of Gatev et al. (2006) to sophisticated, nonlinear models from the domains of machine learning, physics, mathematics, and others (Pole, 2008).”
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001, background): “See, for example, pairs trading in Gatev et al. (1999), risk arbitrage in Mitchell and Pulvino (1999), and relative-value trading in Richards (1999).”
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (2014, unknown): “For example, Gatev et al. (2006) study the historical returns from the buy-low-sell-high strategy where the entry/exit levels are set as ±1 standard deviation from the long-run mean.”
Cryptocurrency trading: a comprehensive survey (2020, methodology): “ploit mean-reversion between the prices of certain securities. Miroslav [99] investigated applicability of standard pairs trading approaches on cryptocurrency data with the benchmarks of Gatev et al. [109]. The pairs trading strategy is constructed in two steps. Firstly, suitable pairs with a stable”
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013, unknown): “(2002) and Gatev et al. (2006) show that Sharpe Ratios can be misleading when return distributions have negative skewness.”
Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “The distance approach has been introduced by the seminal paper of Gatev et al. (2006).”
Performance Evaluation of Hedge Funds with Option-based and Buy-and-Hold Strategies (2000, unknown): “Fourth, the risk exposures we obtain are similar to those observed by other researchers (Mitchell and Pulvino (2000), and Gatev et al (1999)) using detailed replication of strategies.”
The profitability of pairs trading strategies: distance, cointegration and copula methods (2016, unknown): “In addition, after restricting the formation of pairs to same-industry stocks, Gatev et al. (2006) report monthly excess returns of 1.1, 0.6, 0.8 and 0.6% on top 20 pairs in utilities, transportation, financial and industrial sectors, respectively.”
Intraday pairs trading strategies on high frequency data: the case of oil companies (2017, methodology): “Gatev et al. (2006) estimated a large transaction †A missing data refers to the situation where there is no trade in a five-min interval.”
Convergence trading with wealth effects: an amplification mechanism in financial markets (2001, unknown): “Long-term investors are modeled as a 1 Fung and Hsieh (1999), Perold (1999), and Gatev et al. (1999) offer detailed descriptions of the market practices and risk profiles of convergence trading, and a report by the Bank for International Settlements (BIS, 1999) documents financial market conditions…”