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(38 citation statements)

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“…As it was explained in Section 2.2, the HP model is proposed as an alternative to correlation, which is why in this section a comparison using both models is done, to check whether it is true that our model is superior to the correlation method. In a previous work [62], it is shown that the strategy of Pairs Trading does not obtain good results by selecting those highly correlated pairs. The goal of this section is to test if a Pairs Trading strategy based on HP improves the performance of the strategy.…”

confidence: 99%

“…As it was explained in Section 2.2, the HP model is proposed as an alternative to correlation, which is why in this section a comparison using both models is done, to check whether it is true that our model is superior to the correlation method. In a previous work [62], it is shown that the strategy of Pairs Trading does not obtain good results by selecting those highly correlated pairs. The goal of this section is to test if a Pairs Trading strategy based on HP improves the performance of the strategy.…”

confidence: 99%

“…This strategy was born in a North American investment bank in the 1980s [59]. In the scientific field, many studies were developed in which different selection methods were introduced, from the simplest ones such as the method of distance [60] or correlation, to more complex methods, such as cointegration [59], copula [61] or the Hurst exponent [62].…”

confidence: 99%

“…It is reported in [18], that the different correlation measures do show important differences in terms of return and risk.…”

confidence: 99%

“…The datasets may also be made available on request from the corresponding author. Taking inspiration from [18] we adopted the rolling windows approach with 500 trading days for identifying the best pairs for trade, and the next 250 trading days are for conducting trading on the selected pairs. So, overall we obtain 6 windows for training purpose and 6 windows for testing purpose.…”

confidence: 99%