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| 페어 트레이딩 (통계적 차익거래)× | 최소제곱법(OLS) 회귀× | |
|---|---|---|
| 분야≠ | 재무학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2006 | 2019 |
| 창시자≠ | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) | Wooldridge (textbook treatment); classical least squares |
| 유형≠ | Cointegration-based mean-reversion trading strategy | Linear regression |
| 원전≠ | 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 |
| 별칭 | 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 |
| 관련 | 5 | 5 |
| 요약≠ | 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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