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 (https://doi.org/10.2469/faj.v66.n4.1)

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.

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• Item metadata

  Item type:	Article
  ID code:	41067
  Dates:	Date Event August 2010 Published
  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:	11 Nov 2024 10:13
  URI:	https://strathprints.strath.ac.uk/id/eprint/41067