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