Gold Standard Pairs Trading Rules: Are They Valid?
“It has been shown to generate significant excess returns, but its profitability has dropped significantly in recent periods.”
AssetEquities
StrategyPairs tradingshort-term reversal
GeographyUS
Sample window1990–2020
Also stated: Excess return, Profit
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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