“The pairs trade was developed in the late 1980s by quantitative analysts and pioneered by Gerald Bamberger while at Morgan Stanley. With the help of others at Morgan Stanley at the time, including Nunzio Tartaglia, Bamberger found that certain securities, often competitors in the same sector, were correlated in their day-to-day price movements. When the correlation broke down, i.e. one stock traded up while the other traded down, they would sell the outperforming stock and buy the underperforming one, betting that the "spread" between the two would eventually converge.”
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Classical Pairs Trading Using MatLab.zip
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本附件包括:
- license.txt
- Evaluation of Pairs Trading Strategy at the Brazilian Financial Market.pdf
- M of a Kind A Multivariate Approach at Pairs Trading.pdf
- Pairs Trading Performance of a Relative Value Arbitrage Rule.pdf
- Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies.pdf
- An Intelligent Statistical Arbitrage Trading System.pdf