A Cooperative Dynamic Approach to Pairs Trading
Based on recent works on stocks comovement, Pairs Trading’s strategy is enhanced by reducing the stock universe to the stocks with the lower volatility on a given date. From this universe of low volatility stocks, pairs are selected by looking for pairs whose series present a high degree of antipers...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/7152846 |
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