Statistical arbitrage pairs trading strategies: Review and outlook

Arbeitspapier

This survey reviews the growing literature on pairs trading frameworks, i.e., relative-value arbitrage strategies involving two or more securities. The available research is categorized into five groups: The distance approach uses nonparametric distance metrics to identify pairs trading opportunities. The cointegration approach relies on formal cointegration testing to unveil stationary spread time series. The time series approach focuses on finding optimal trading rules for mean-reverting spreads. The stochastic control approach aims at identifying optimal portfolio holdings in the legs of a pairs trade relative to other available securities. The category "other approaches" contains further relevant pairs trading frameworks with only a limited set of supporting literature. Drawing from this large set of research consisting of more than 90 papers, an in-depth assessment of each approach is performed, ultimately revealing strengths and weaknesses relevant for further research and for implementation.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IWQW Discussion Papers ; No. 09/2015

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: statistical arbitrage ; pairs trading ; spread trading ; relative-value arbitrage ; meanreversion

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Krauss, Christopher
• Ereignis: Veröffentlichung
• (wer): Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
• (wo): Nürnberg
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/116783
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ