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Yolanda Stander,Daniël Marais,Ilse Botha    

AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop... see more


Andreas Mikkelsen,Frode Kjærland    

We study the performance of a high-frequency pairs trading strategy on the 100 most liq- uid stocks, in 15-minute intervals, on a small commodity dominated stock exchange (Oslo Stock Exchange) using a comprehensive dataset from January 2012 to March 2016... see more


Fabio Pizzutilo    

We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding th... see more


Paula Andrea Soto,Juan Carlos Ruilova Teran    

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Tadahiro Nakajima    

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