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Latest Development in field of Pair Trading

Latest Development in field of Pair Trading

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• 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

 

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