dc.contributor.author | Mikkelsen, Andreas | |
dc.contributor.author | Kjærland, Frode | |
dc.date.accessioned | 2018-11-23T15:47:26Z | |
dc.date.available | 2018-11-23T15:47:26Z | |
dc.date.created | 2018-07-04T12:51:21Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Mikkelsen, A. & Kjærland, F. (2018). High-frequency pairs trading on a small stock exchange. International Journal of Financial Issues, 8, 78-88. | nb_NO |
dc.identifier.issn | 2146-4138 | |
dc.identifier.uri | http://hdl.handle.net/11250/2574680 | |
dc.description.abstract | We study the performance of a high-frequency pairs trading (PT) strategy on the 100 most liquid stocks, in 15-min intervals, on a small commodity dominated stock exchange (Oslo Stock Exchange) using a comprehensive dataset from January 2012 to March 2016. We use both the distance and cointegration approach. Moreover, we let the formation (trading) period vary between 2 (1), 4 (2), and 6 (3) weeks, in order to test the impact on the PT profit. We find that the distance and cointegration approaches both have their strengths and weaknesses. In addition, we find that a shorter formation (and trading) period yields better results. As a further contribution to the literature, our findings imply that a simple static PT strategy, still is profitable using high-frequency data. Further, our results show better performance in a bull market than in a sideways-moving, volatile market. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | EconJournals | nb_NO |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | High-frequency Pairs Trading on a Small Stock Exchange | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.rights.holder | © 2018, The Author(s) | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | nb_NO |
dc.source.pagenumber | 78-88 | nb_NO |
dc.source.volume | 8 | nb_NO |
dc.source.journal | International Journal of Economics and Financial Issues | nb_NO |
dc.source.issue | 4 | nb_NO |
dc.identifier.cristin | 1595619 | |