On the sensibility of the pairs trading strategyThe case of the FTS stock market index

  1. Ainhoa Fernández-Pérez 1
  2. María de las Nieves López-García 1
  3. José Pedro Ramos Requena 1
  1. 1 Universidad de Almería
    info

    Universidad de Almería

    Almería, España

    ROR https://ror.org/003d3xx08

Revista:
Estudios de economía aplicada

ISSN: 1133-3197,  1697-5731

Año de publicación: 2020

Título del ejemplar: Africa: Economic transformations and development challenges (II)

Volumen: 38

Número: 3

Tipo: Artículo

DOI: 10.25115/EEA.V38I3.3145 DIALNET GOOGLE SCHOLAR lock_openAcceso abierto editor

Otras publicaciones en: Estudios de economía aplicada

Objetivos de desarrollo sostenible

Resumen

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

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