Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs trading strategies. In addition to estimating lo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2013-03-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/4785/7889 |