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Does simple pairs trading still work

Do, B and Faff, Robert (2010) Does simple pairs trading still work. Financial Analysts Journal, 66 (4). pp. 83-95. ISSN 0015-198X

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Abstract

Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent global financial crisis. Moreover, alternative algorithms combined with other measures enhance trading profits considerably, by 22 bps a month for bank stocks.

Item type: Article
ID code: 41067
Keywords: pairs trading, bank stocks, trading, financial crisis, Accounting, Finance, Economics and Econometrics, Accounting
Subjects: Social Sciences > Commerce > Accounting
Department: Strathclyde Business School > Accounting and Finance
Depositing user: Pure Administrator
Date Deposited: 11 Sep 2012 11:20
Last modified: 21 May 2015 14:55
URI: http://strathprints.strath.ac.uk/id/eprint/41067

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