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 paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages39
Publication statusPublished - 2014

Publication series

NameTI Discussion Paper
No.14-39/III

Cite this

Gatarek, L., Hoogerheide, L. F., & van Dijk, H. K. (2014). Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. (TI Discussion Paper; No. 14-39/III). Amsterdam: Tinbergen Institute.
Gatarek, L. ; Hoogerheide, L.F. ; van Dijk, H.K. / Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Amsterdam : Tinbergen Institute, 2014. (TI Discussion Paper; 14-39/III).
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Gatarek, L, Hoogerheide, LF & van Dijk, HK 2014 'Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices' TI Discussion Paper, no. 14-39/III, Tinbergen Institute, Amsterdam.

Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. / Gatarek, L.; Hoogerheide, L.F.; van Dijk, H.K.

Amsterdam : Tinbergen Institute, 2014. (TI Discussion Paper; No. 14-39/III).

Research output: Working paperProfessional

TY - UNPB

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

Y1 - 2014

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

ER -

Gatarek L, Hoogerheide LF, van Dijk HK. Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Amsterdam: Tinbergen Institute. 2014. (TI Discussion Paper; 14-39/III).