This survey reviews the growing literature on pairs trading frameworks, ie, relative‐value
arbitrage strategies involving two or more securities. Research is categorized into five …

Automated trading, which is also known as algorithmic trading, is a method of using a
predesigned computer program to submit a large number of trading orders to an exchange …

We perform an extensive and robust study of the performance of three different pairs trading
strategies—the distance, cointegration and copula methods—on the entire US equity market …

Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the
construction of mean-reverting spreads with a certain degree of predictability. This paper …

Pairs trading is a popular dollar-neutral trading strategy. This article, using the components
of the S&P 500 index, explores the performance of a pairs trading system based on various …

Pairs trading is one of the mainstream statistical arbitrage strategies in current financial
market practice that can seize possible arbitrage opportunities caused by mispricing …

Pairs trading is a strategy based on exploiting mean reversion in prices of securities. Even
though these strategies have been shown to perform well for equities, their performance is …

We propose an alternative pairs trading strategy based on computing a mispricing index in a
novel way via a mixed copula model, or more specifically via an optimal linear combination …

We study the optimal trading policy of an arbitrageur who can exploit temporary mispricing in
a market with two convergent assets. We build on the model of Liu and Timmermann (2013) …

Pairs trading is a simple and popular relative value trading strategy. This article deals with
the most common implementation of the method based on a distance criterion. It …