Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

L. Gatarek, L.F. Hoogerheide, H.K. van Dijk

Research output: Working paper / Preprint › Working paper › Professional

Name	TI Discussion Paper
No.	14-39/III

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author = "L. Gatarek and L.F. Hoogerheide and {van Dijk}, H.K.",

year = "2014",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Institute",

number = "14-39/III",

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T1 - Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

AU - Gatarek, L.

AU - Hoogerheide, L.F.

AU - van Dijk, H.K.

PY - 2014

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M3 - Working paper

T3 - TI Discussion Paper

BT - Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

PB - Tinbergen Institute

CY - Amsterdam

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