On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

被引：2

作者：

Fernandez-Perez, A. ^{[1
]}

Lopez-Garcia, M. N. ^{[1
]}

Ramos-Requena, J. P. ^{[1
]}

机构：

[1] Univ Almeria, Dept Econ & Business, Almeria, Spain

来源：

ESTUDIOS DE ECONOMIA APLICADA | 2020年 / 38卷 / 03期

关键词：

Hurst exponent; Statistical Arbitrage; Pairs Trading; STATISTICAL ARBITRAGE; HURST EXPONENT; COSTS;

D O I：

10.25115/eea.v38i3.3145

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we present a non-conventional statistical arbitrage technique based on varying the number of standard deviations used to carry the Trading strategy. We will show how values of 1 and 1,5 in the standard deviation provide better results than the classic strategy of Gatev et al (2006) [17]. An empirical application is a performance using data of the FST100 index during the period 2010 to June 2019.

引用

页数：9

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