Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Trading de paires (arbitrage statistique)× | Modèle HAR-RV de la volatilité réalisée× | |
|---|---|---|
| Domaine | Finance | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2006 | 2009 |
| Auteur d'origine≠ | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) | Fulvio Corsi |
| Type≠ | Cointegration-based mean-reversion trading strategy | Linear time-series regression for volatility |
| Source fondatrice≠ | Gatev, E., Goetzmann, W. N. & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19(3), 797–827. DOI ↗ | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196. DOI ↗ |
| Alias | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) | HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility) |
| Apparentées | 5 | 5 |
| Résumé≠ | Pairs trading is a quantitative trading strategy that takes a long-short position on two cointegrated assets when the gap (spread) between their prices shows mean reversion. It was popularised as a relative-value arbitrage rule by Gatev, Goetzmann and Rouwenhorst (2006) and framed quantitatively by Vidyamurthy (2004). | The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility. |
| ScholarGateJeu de données ↗ |
|
|