Table of Contents Author Guidelines Submit a Manuscript
Journal of Applied Mathematics and Decision Sciences
Volume 2006, Article ID 73803, 14 pages
http://dx.doi.org/10.1155/JAMDS/2006/73803

Loss protection in pairs trading through minimum profit bounds: A cointegration approach

1School of Mathematics and Applied Statistics, University of Wollongong, Northfields Avenue, Wollongong 2500, NSW, Australia
2School of Finance and Accounting, University of Wollongong, Northfields Avenue, Wollongong 2500, NSW, Australia
3School of Mathematics and Applied Statistics, University of Wollongong, Northfields Avenue, Wollongong 2500, NSW, Australia

Received 4 September 2005; Revised 10 May 2006; Accepted 15 May 2006

Copyright © 2006 Yan-Xia Lin et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. C. Alexander and A. Dimitriu, “The cointegration alpha: enhanced index tracking and long-short equity market neutral strategies,” 2002, Discussion Papers in Finance ISMA Center 2002-08, University of Reading. View at Google Scholar
  2. C. Alexander, I. Giblin, and W. Weddington, III, “Cointegration and asset allocation: a new active hedge fund strategy,” 2001, Discussion Papers in Finance ISMA Center 2001-03, University of Reading. View at Google Scholar
  3. E. Gatev, W. Goetzmann, and G. Rouweunhorst, “Pairs trading: performance of a relative value arbitrage rule,” Working Paper 7032, National Bureau of Economic Research, Washington DC, 1999. View at Google Scholar
  4. T. Gillespie and C. Ulph, “Pair trades methodology: a question of mean reversion,” in Proceedings of International Conference on Statistics, Combinatorics and Related Areas and the 8th International Conference of Forum for Interdisciplinary Mathematics, NSW, December 2001, unpublished paper. View at Google Scholar
  5. R. Harris, Using Cointegration Analysis in Econometric Modelling, Prentice Hall, London, 1995. View at Zentralblatt MATH
  6. D. Hendry and K. Juselius, “Explaining cointegration analysis: part II,” Energy Journal, vol. 22, no. 1, pp. 75–120, 2001. View at Google Scholar
  7. B. Jacobs and K. Levy, “Long/short equity investing,” Journal of Portfolio Management, vol. 20, no. 1, pp. 52–63, 1993. View at Google Scholar
  8. F.-S. L'Habitant, Hedge Funds: Myths and Limits, John Wiley & Sons, Chichester, 2002.
  9. R. Lowenstein, When Genius Failed: The Rise and Fall of Long-Term Capital Management, Random House, New York, 2000.
  10. M. Peskin and B. Boudreau, “Why hedge funds make sense,” 2000, http://www.thehfa.org/articles/1.pdf. View at Google Scholar
  11. F. Reilly and K. Brown, Investment Analysis and Portfolio Management, Harcourt College, New York, 6th edition, 2000.
  12. W. F. Sharpe, G. J. Alexander, and J. V. Bailey, Investments, Prentice-Hall, New Jersey, 6th edition, 1999.