Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Trading de paires (arbitrage statistique)× | Régression par Moindres Carrés Ordinaires (MCO)× | |
|---|---|---|
| Domaine≠ | Finance | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2006 | 2019 |
| Auteur d'origine≠ | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) | Wooldridge (textbook treatment); classical least squares |
| Type≠ | Cointegration-based mean-reversion trading strategy | Linear regression |
| 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 ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Alias | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| 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). | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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