European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return. Journal of Business Theory and Practice.
(2013)
Journal Article
Lucey, M., & Walshe, D. (2013). European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return. Journal of Business Theory and Practice. Journal of business theory and practice, 1(2), 329-341. https://doi.org/10.22158/jbtp.v1n2p329
This article examines an equity pairs trading strategy using daily, weekly and monthly European share price data over the period 1998 – 2007. The authors show that when stocks are matched into pairs with minimum distance between normalised historical... Read More about European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return. Journal of Business Theory and Practice..