Statistical Arbitrage With Stocks
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1. Pairs trading in the Brasilian stock market / A estratégia pairs trading no mercado de ações brasileiro
This paper investigates the possibility of obtaining profits with an investment strategy named pairs trading. Using a rule which is already adopted in practice by investors, yields averaging annualized excess returns of approximately 4.7% for the period 2002-2006 were obtained, after transaction costs. The reported returns have low correlation with the marke
Publicado em: 2007