Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
480932 | European Journal of Operational Research | 2009 | 7 Pages |
Abstract
Pairs trading is a popular quantitative speculation strategy. This article proposes a general and flexible framework for pairs selection. The method uses multiple return forecasts based on bivariate information sets and multi-criteria decision techniques. Our approach can be seen as a sort of forecast combination but the output of the method is a ranking. It helps to detect potentially under- and overvalued stocks. A first application with S&P 100 index stocks provides promising results in terms of excess return and directional forecasting.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Nicolas Huck,