Year: 2024
Type: preprint
Abstract: Pair trading is a market-neutral quantitative trading strategy that exploits price anomalies between two correlated assets. By taking simultaneous long and short positions, it generates profits based on relative price movements, independent of overall market trends. This study explores the mathematical foundations of pair trading, focusing on identifying cointegrated pairs, constructing trading signals, and optimizing model parameters to maximize returns. The results highlight the strategy's potential for consistent profitability even in volatile market conditions.
Source: arXiv (Cornell University)
Authors: Barthelemy, Charles, Chen, Ruoyu, Lucyszyn, Edward
Institution: Columbia University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4405562292