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Fecha
2025-12-09
Derechos de acceso
info:eu-repo/semantics/openAccess
Título de la revista
ISSN de la revista
Título del volumen
Editorial
AIMS Press
Citas
Resumen
The financial literature on pair trading shows that Johansen's methodology is the most consistent for finding long-term cointegrated assets. Previous work has either looked for cointegrating relationships of total assets when it was feasible to identify them or has only analyzed pairwise relationships. We present a bottom-up analysis of the possible cointegrating relationships among assets to search for the most profitable strategies. On monthly prices of stocks (Eurostosxx-50), we find that cointegration relationships go beyond two assets, have volatile behavior, and different terms. Both short-term and long-term investments show returns higher than the benchmark index.
Descripción
Categorías UNESCO
Palabras clave
pair-trading, cointegration, mean reversion, long-run relationship, statistical arbitrage
Citación
Mariano González-Sánchez, Juan M. Nave Pineda, Javier Ruiz Rincón. Exploration of multiple asset investment opportunities based on pair trading[J]. Quantitative Finance and Economics, 2025, 9(4): 912-932. doi: 10.3934/QFE.2025032
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía de la Empresa y Contabilidad