Pure Statistical and Multi-Level Industrial Pairs Trading: Bridged by Statistical Characters

Abstract:

To investigate the differences between industrial pairs trading in different classification levels, explore the compatibility between pure statistical pairs and industrial pairs, the article based on the 50 stock’s data of Index 50 SSE in China from 2004 to 2010, implemented the GGR trading strategy, and paired the sample stocks with pure statistical, primary industry and secondary industry pairing methods. It discovered that primary industrial pairs make no significantly difference with pure statistical pairs, but the secondary industry pairs do and improve markedly with the possibility of ruling out the best pairs arbitrarily. With GGR trading strategy established, stock selection criteria would impact on the trading results.

• Periodical: Advanced Materials Research (Volumes 479-481)
• Pages: 829-832
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.479-481.829
• Online since: February 2012
• Authors: Su Sheng Wang, Yong Guan Mai, Hong Yu Ning
• Keywords: Hedge, Pairs Trading, Statistical Arbitrage, Statistical Character

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