Does Simple Pairs Trading Still Work?

2010225 citationsJournal Article

Authors

Abstract

Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent global financial crisis. Moreover, alternative algorithms combined with other measures enhance trading profits considerably, by 22 bps a month for bank stocks.

Topics & Keywords

Financial Markets and Investment Strategies Stock Market Forecasting Methods Auditing, Earnings Management, Governance

UN Sustainable Development Goals

Decent work and economic growth

Publication Details

Published in: Financial Analysts Journal

Volume 66, Issue 4, pp. 83-95

DOI: 10.2469/faj.v66.n4.1

Field-Weighted Citation Impact: 11.18