EN
Statistical Arbitrage Pairs Trading with High-frequency Data
Abstract
In recent years, more sophisticated techniques for analyzing data and exponential increase in computing power allow high-frequency trading. This paper provides a detailed overview on pairs trading in the context of intraday data and applies different strategies to minute-by-minute prices of the S&P 500 constituents from 1998 to 2015. In the back-testing study, the best performing pairs trading approach produces statistically and economically significant returns of 50.50 percent p.a. and an annualized Sharpe ratio of 8.14 after transaction costs. Although most algorithms show declining returns over time, there still exist pairs trading strategies with favorable results in the recent past.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
December 1, 2017
Submission Date
December 1, 2017
Acceptance Date
-
Published in Issue
Year 2017 Volume: 7 Number: 4
APA
Stübinger, J., & Bredthauer, J. (2017). Statistical Arbitrage Pairs Trading with High-frequency Data. International Journal of Economics and Financial Issues, 7(4), 650-662. https://izlik.org/JA53YJ54PC
AMA
1.Stübinger J, Bredthauer J. Statistical Arbitrage Pairs Trading with High-frequency Data. IJEFI. 2017;7(4):650-662. https://izlik.org/JA53YJ54PC
Chicago
Stübinger, Johannes, and Jens Bredthauer. 2017. “Statistical Arbitrage Pairs Trading With High-Frequency Data”. International Journal of Economics and Financial Issues 7 (4): 650-62. https://izlik.org/JA53YJ54PC.
EndNote
Stübinger J, Bredthauer J (December 1, 2017) Statistical Arbitrage Pairs Trading with High-frequency Data. International Journal of Economics and Financial Issues 7 4 650–662.
IEEE
[1]J. Stübinger and J. Bredthauer, “Statistical Arbitrage Pairs Trading with High-frequency Data”, IJEFI, vol. 7, no. 4, pp. 650–662, Dec. 2017, [Online]. Available: https://izlik.org/JA53YJ54PC
ISNAD
Stübinger, Johannes - Bredthauer, Jens. “Statistical Arbitrage Pairs Trading With High-Frequency Data”. International Journal of Economics and Financial Issues 7/4 (December 1, 2017): 650-662. https://izlik.org/JA53YJ54PC.
JAMA
1.Stübinger J, Bredthauer J. Statistical Arbitrage Pairs Trading with High-frequency Data. IJEFI. 2017;7:650–662.
MLA
Stübinger, Johannes, and Jens Bredthauer. “Statistical Arbitrage Pairs Trading With High-Frequency Data”. International Journal of Economics and Financial Issues, vol. 7, no. 4, Dec. 2017, pp. 650-62, https://izlik.org/JA53YJ54PC.
Vancouver
1.Johannes Stübinger, Jens Bredthauer. Statistical Arbitrage Pairs Trading with High-frequency Data. IJEFI [Internet]. 2017 Dec. 1;7(4):650-62. Available from: https://izlik.org/JA53YJ54PC