Pairs trading based on statistical variability of the spread process

ISSN： 1469-7688

Source： Quantitative Finance, Vol.13, Iss.9, 2013-09, pp. : 1411-1430

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pairs trading

By Elliott Robert J. Van Der Hoek John Malcolm William P.

Quantitative Finance, Vol. 5, Iss. 3, 2005-06 ,pp. : 271-276

Routledge Ltd

Access to resources Recommend Favorite

Pairs trading: A copula approach

By Liew Rong Qi Wu Yuan

Journal of Derivatives & Hedge Funds, Vol. 19, Iss. 1, 2013-02 ,pp. : 12-30

Palgrave Macmillan Ltd

Access to resources Recommend Favorite

Intraday data and hedging efficiency in interest spread trading

By Dunis Christian Lequeux Pierre

The European Journal of Finance, Vol. 6, Iss. 4, 2000-12 ,pp. : 332-352

Routledge Ltd

Access to resources Recommend Favorite

Quantitative spread trading on crude oil and refined products markets

By Cummins Mark Bucca Andrea

Quantitative Finance, Vol. 12, Iss. 12, 2012-12 ,pp. : 1857-1875

Routledge Ltd

Access to resources Recommend Favorite

Modelling and trading the gasoline crack spread: A non-linear story

By Dunis Christian L

Derivatives Use, Trading Regulation, Vol. 12, Iss. 1, 2006-05 ,pp. : 126-145

Palgrave Macmillan Ltd

Access to resources Recommend Favorite