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Article

Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters

A pairs trading strategy (PTS) constructs a mean-reverting portfolio whose logarithmic value moves back and forth around a mean price level. It makes profits by longing (or shorting) the portfolio when it is u...

Yen-Wu Ti, Tian-Shyr Dai, Kuan-Lun Wang, Hao-Han Chang… in Computational Economics (2024)