方法证据记录
Pairs Trading
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).
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Pairs Trading / Statistical Arbitrage Strategy
分类方法记录 · regression-model / finance
- 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 10.1093/rfs/hhj020
- Vidyamurthy, G. (2004). Pairs Trading: Quantitative Methods and Analysis. Wiley. · ISBN 978-0471460671
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