Alexandre Rubesam Profile picture
Assistant Professor of Finance at @IESEG School of Management. Interests: quant finance, financial econometrics, empirical asset pricing, portfolio management.
29 Apr
I recently implemented some pairs trading strategies for a paper, and decided to share an implementation of the Gatev, Goetzmann & Rouwenhorst (2006) strategy on a short article on RPubs.
rpubs.com/arubesam/Repli…
#rstats #RPubs #DataScience #finance #pairstrading #reproducibility
In the RPubs post above, I provide the #R code to backtest the strategy, as well as some results replicating Gatev, Goetzmann & Rouwenhorst (2006) and Do and Faff (2010), and extending the sample to the end of 2020. In this thread, I show some of these results.
Pairs trading is a type of systematic trading strategy based on finding pairs of stocks or assets that have historically "moved together", and betting that divergences will eventually get corrected. It is a simple form of statistical arbitrage.
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