Pairs Trading, Performance of a Relative Value Arbitrage Rule¶
Gatev, E., Goetzmann, W. N., & Rouwenhorst, K. G. (2006). Pairs Trading, Performance of a Relative Value Arbitrage Rule.
Cited by¶
1 citation across 1 artifact.
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Domain-specific¶
- Statistical relative-value trading
- The expected payoff depends on what prices do after entry and can be negative when the model, market conditions, or execution fail.
This sourceThe printed title has a colon after "Pairs Trading"; the linked-title comma preserves the complete title in the reference binder.
- The expected payoff depends on what prices do after entry and can be negative when the model, market conditions, or execution fail.
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