Pairs trading in the UK equity market: risk and return

By David Bowen, Mark C. Hutchinson. 2016

39 citations recorded by the source corpus.

Subfields: Accounting, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Alexander Deinert
2. Thomas G. Fischer
3. Christopher Krauss

In Finance

1. Alexander Deinert
2. Thomas G. Fischer
3. Christopher Krauss
4. A. Ozbayoglu
5. Omer Berat Sezer
6. Weiwei Jiang
7. M. Ugur Gudelek
8. Sima Siami‐Namini

Citations in the corpus

• Statistical Arbitrage in Cryptocurrency Markets (2019, background): “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.”
• Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Bowen and Hutchinson (2014) apply GGR’s strategy to the U.K. equity market 1979 to 2012.”