Does simple pairs trading still work

B Do, Robert Faff

Research output: Contribution to journalArticle

66 Citations (Scopus)

Abstract

Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent global financial crisis. Moreover, alternative algorithms combined with other measures enhance trading profits considerably, by 22 bps a month for bank stocks.
LanguageEnglish
Pages83-95
Number of pages13
JournalFinancial Analysts Journal
Volume66
Issue number4
DOIs
Publication statusPublished - Aug 2010

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Global financial crisis
Pairs trading
Turbulence
Profitability
Profit

Keywords

  • pairs trading
  • bank stocks
  • trading
  • financial crisis

Cite this

Do, B ; Faff, Robert. / Does simple pairs trading still work. In: Financial Analysts Journal. 2010 ; Vol. 66, No. 4. pp. 83-95.
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Does simple pairs trading still work. / Do, B; Faff, Robert.

In: Financial Analysts Journal, Vol. 66, No. 4, 08.2010, p. 83-95.

Research output: Contribution to journalArticle

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