González Sánchez, MarianoNave Pineda, Juan M.Ruiz Rincón, Javier2025-12-162025-12-162025-12-09Mariano 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.20250322573-0134https://doi.org/10.3934/QFE.2025032https://hdl.handle.net/20.500.14468/31156The 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.eninfo:eu-repo/semantics/openAccess5311 Organización y dirección de empresasartículopair-tradingcointegrationmean reversionlong-run relationshipstatistical arbitrage