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- W2126744326 abstract "The following research uses properties of cointegrated time series that serve as a basis for a daily trading strategy. Its practical implementation is illustrated using the daily closing prices of four world stock market indices. In-sample (as well as out-of-sample) results show that the long-term dependencies of financial time series can be profitably exploited in a variant of “pairs trading” strategy. This paper includes an extended empirical study that shows the strategy's performance as a function of its parameters. The backtests presented show the daily profit-and-loss results for the period 2001 to 2006. During that time, the strategy significantly outperformed a simple buy-and-hold of the individual indices." @default.
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- W2126744326 date "2011-12-01" @default.
- W2126744326 modified "2023-09-23" @default.
- W2126744326 title "Exploiting Long Term Price Dependencies for Trading Strategies" @default.
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