Cointegrated Matrix Autoregression Models
Li and Xiao (2024) study pairs trading and statistical arbitrage using classical time-series methods. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Compared to the traditional cointegration analysis, our proposed matrix cointegration model better preserves the inherent structure of the data and enables corresponding interpretations.”
StrategyPairs trading
TechniqueClassical time serieslinear factor model
GeographyEurope
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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