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| 페어 트레이딩 (통계적 차익거래)× | 금융 시계열의 웨이블릿 분석× | |
|---|---|---|
| 분야 | 재무학 | 재무학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2006 | 2001 |
| 창시자≠ | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) | Gençay, Selçuk & Whitcher; Aguiar-Conraria & Soares |
| 유형≠ | Cointegration-based mean-reversion trading strategy | Time-frequency decomposition |
| 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 ↗ | Gençay, R., Selçuk, F. & Whitcher, B. (2001). An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. Academic Press. DOI ↗ |
| 별칭 | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) | wavelet coherence, continuous wavelet transform, time-frequency analysis, Dalgacık (Wavelet) Finansal Analiz |
| 관련≠ | 5 | 1 |
| 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). | Wavelet financial analysis decomposes a financial time series into different frequency bands (time scales) so short- and long-term relationships can be studied at the same time. Drawing on the treatments of Gençay, Selçuk and Whitcher (2001) and Aguiar-Conraria and Soares (2014), wavelet coherence then visualises how the relationship between two series shifts across both time and frequency. |
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