Latest Development in field of Pair Trading

(Last Updated On: May 12, 2011)
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Latest Development in field of Pair Trading

• Alexander, C. (1994): History Debunked RISK 7 no.12 (1994) pp59-63
Alexander, C. (1995): Cofeatures in international bond and equity markets Mimeo
Alexander, C., Johnson, A. (1992): Are foreign exchange markets really efficient ? Economics Letters 40 (1992) 449-453
Alexander, C., Johnson, A. (1994): Dynamic Links RISK 7:2 pp56-61
Alexander, C., Thillainathan, R (1996): the Asian Connections Emerging Markets Investor 2:6 pp42-47
Beck, S.E.(1994): Cointegration and market inefficiency in commodities futures markets Applied Economics 26:3 pp 249-57
Bradley, M., Lumpkin, S. (1992): The Treasury yield curve as a cointegrated system Journal of Financial and Quantitative Analysis 27 pp 449-63
Brenner, R.J., Kroner, K.F. (1995): Arbitrage, cointegration and testing the unbiasedness hypothesis in financial markets Journal of Financial and Quantitative Analysis 30:1 pp23-42
Brenner, R.J., Harjes, Kroner, K.F. (1996): Another look at alternative models of the short term interest rate Journal of Financial and Quantitative Analysis 31:1 pp85-108
Booth, G., Tse, Y. (1995): Long Memory in Interest Rate Futures Markets: A Fractional Cointegration Analysis Journal of Futures Markets 15:5
Campbell, J.Y., Lo, A.W., MacKinley, A.C. (1997): The Econometrics of Financial Markets Princeton University Press
Cerchi, M., Havenner, A. (1998): Cointegration and stock prices Journal of Economic Dynamic and Control 12 pp333-4
Chowdhury, A.R. (1991): Futures market efficiency: evidence from cointegration tests The Journal of Futures Markets 11:5 pp577-89
Chol, l. (1992): Durbin-Haussmann tests for a unit root Oxford Bulletin of Economics and Statistics 54:3 pp289-304
Clare, A.D., Maras, M., Thomas, S.H. (1995): The integration and efficiency of international bond markets Journal of Business Finance and Accounting 22:2 pp313-22
Cochrane, J.H. (1991): A critique of the application of unit root tests Jour. Econ. Dynamics and Control 15 pp275-84
Dickey, D.A., Fuller, W.A. (1979): Distribution of the estimates for autoregressive time series with a unit root Journal of the American Statistical Association 74 pp427-9
Duan, J.C., Pliska, S. (1998): Option valuation with cointegrated asset prices Mimeo
Dwyer, G.P., Wallace, M.S. (1992): Cointegration and market efficiency Journal of international Money and Finance
Engle, R.F., Granger, C.W.J. (1987): Cointegration and error correction: representation, estimation and testing Econometrica 55:2 pp251-76
Engle, R.F., Yoo, B.S. (1987): Forecasting and testing in cointegrated systems Jour. Econometrics 35 pp143-59
Granger, C.W.J. (1988): Some recent developments on a concept of causality Jour. Econometrics 39 pp199-211

Hail, A.D., Anderson, H.M., Granger C.W.J. (1992): A cointegration analysis of Treasury bill yields The Review of Economics and Statistics pp116-26
Hamilton, J.D. (1994): Time Series Analysis Princeton University Press
Harris, F.deB., McInish, T.H., Shoesmith, G.L., Wood, R.A. (1995): Cointegration, Error Correction, And Price Discovery On Informationally Linked Security Markets Journal of Financial and Quantitative Analysis 30:4
Hendry, D.F. (1986): Econometrics modelling with cointegrated variables: an overview Oxford Bulletin of Economics and Statistics 48:3 pp201-12
Hendry, D.F. (1995): Dynamic Econometrics Oxford University Press
Johansen, S. (1988): Statistical analysis of cointegration vectors Journal of Economic Dynamics and Control 12 pp231-54
Johansen, S., Juselius, K. (1990): Maximum likelihood estimation and inference on cointegration – with applications to the demand for money Oxford Bulletin of Economics and Statistics 52:2 pp169-210
Masih, R. (1997): Cointegration of markets since the ’87 crash Quaterly Review of Economics and Finance 37:4
Proietti, T. (1997): Short-run dynamics in cointegrated systems Oxford Bulletin of Economics and Statistics 59:3
Schwartz, T.V., Szakmary, A.C. (1994): Price discovery in petroleum markets: arbitrage, cointegration and the time interval of analysis Journal of Futures Markets 14:2 pp147-167
Schmidt, P., Phillips, P.C.B. (1992): LM tests for a unit root in the presence of deterministic trends Oxford Bulletin of Economics and Statistics 54:3 pp257-288
Wang, G.H.K., Yau, J. (1994): A Time Series Approach To Testing For Market Linkage: Unit Root And Cointegration Tests Journal of Futures Markets 14:4

wov lot of info man , thanks

I have actually quite some experience on Pairs Trading on NIFTY Stocks, let me know if that can be helpful


NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at