A pairs trading strategy (PTS) constructs and monitors a stationary portfolio by shorting
(longing) when the portfolio is adequately over-(under-) priced measured by a …

This paper studies the market efficiency and relevant issues of the copper futures traded on
the Shanghai Futures Exchange (SHFE) in China. Since its listing, the market, grown …

Pairs trading strategy is one of the well-known quantitative trading strategy developed in
1980s by the team of scientists. There are many researchers trying to study and create the …

Pairs trading is a quantitative trading strategy consisting on identifying two stocks that
historically move together and, using the assumption that their prices difference has mean …

A pairs trading strategy (PTS) constructs a market-neutral portfolio whose value typically
moves back and forth around a mean price level; investors short (long) the portfolio when its …

Pair trading is a popular trading strategy that involves taking advantage of the correlation
between two stocks to generate profits. However, traditional pair trading strategies have …

A pairs trading strategy (PTS) forms a market-neutral portfolio whose value moves back and
forth around a certain price level. An investor can long (short) the portfolio when its price …

In recent years, China's stock market has experienced dramatic fluctuations; in particular, in
the second half of 2014 and 2015, the market rose sharply and fell quickly. Many classical …

This paper analyses the profitability of pairs trading strategy in Latin American stock markets
through a PCA approach with a multi‐factorial model. We propose two criteria for selecting …

资本市场中, 套利交易是一种规避风险的重要交易方式. 统计套利在近几十年来在国外资本市场
十分盛行. 而国内资本市场由于缺乏做空机制, 统计套利等量化投资策略很难得以实现 …