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Exploration of multiple asset investment opportunities based on pair trading

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dc.contributor.authorGonzález Sánchez, Mariano
dc.contributor.authorNave Pineda, Juan M.
dc.contributor.authorRuiz Rincón, Javier
dc.date.accessioned2025-12-16T09:47:53Z
dc.date.available2025-12-16T09:47:53Z
dc.date.issued2025-12-09
dc.description.abstractThe 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.en
dc.description.provenanceMade available in DSpace on 2025-12-16T09:47:53Z (GMT). No. of bitstreams: 1 Gonzalez Sanchez Mariano_Exploring of multipl_MARIANO GONZALEZ SAN.pdf: 272419 bytes, checksum: bf7c2c363e569987edc969b8e2116e87 (MD5) Previous issue date: 2025-12-09en
dc.description.sponsorshipThis work is finnancied by: Grant PID2023-151010NB-I00 funded by MICIU /AEI/10.13039/501100011033 and FEDER-EUen
dc.description.versionversión publicada
dc.identifier.citationMariano 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
dc.identifier.doihttps://doi.org/10.3934/QFE.2025032
dc.identifier.issn2573-0134
dc.identifier.urihttps://hdl.handle.net/20.500.14468/31156
dc.journal.issue4
dc.journal.titleQuantitative Finance and Economics 2025, Volume 9, Issue 4: 912-932
dc.journal.volume9
dc.language.isoen
dc.page.final932
dc.page.initial912
dc.publisherAIMS Press
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.relation.projectidinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2023-151010NB-I00/ES/EXPLOTACION DE LOS VALORES ATIPICOS EN LOS DATOS FINANCIEROSen
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.es
dc.subject5311 Organización y dirección de empresas
dc.subject.keywordspair-tradingen
dc.subject.keywordscointegrationen
dc.subject.keywordsmean reversionen
dc.subject.keywordslong-run relationshipen
dc.subject.keywordsstatistical arbitrageen
dc.titleExploration of multiple asset investment opportunities based on pair tradingen
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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