The effectiveness of pairs trading strategy in light of market volatility

This paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility le...

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Bibliographic Details
Main Author: Domingues, Nuno Ramos Da Fonseca (author)
Format: masterThesis
Language:eng
Published: 2021
Subjects:
Pairs trading
Correlation
Statistical arbitrage
Financial crisis
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10362/133363
Country:Portugal
Oai:oai:run.unl.pt:10362/133363

Internet

http://hdl.handle.net/10362/133363

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