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14-039/III - Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

  • Authors
    Lukasz Gatarek, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam
  • Publication date
    March 20, 2014
  • Keywords
    Bayesian analysis; cointegration; linear normalization; orthogonal normalization; pairs trading; statistical arbitrage
  • JEL
    C11, C15, C32, C58, G17