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| 配对交易（统计套利）× | 金融时间序列的小波分析× | |
|---|---|---|
| 领域 | 金融学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2006 | 2001 |
| 提出者≠ | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) | Gençay, Selçuk & Whitcher; Aguiar-Conraria & Soares |
| 类型≠ | Cointegration-based mean-reversion trading strategy | Time-frequency decomposition |
| 开创性文献≠ | 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 ↗ |
| 别名 | 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 |
| 相关≠ | 5 | 1 |
| 摘要≠ | 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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