Title :
A characterization of long-short trading strategies based on cointegration
Author :
Kawasaki, Yoshinori ; Tachiki, Shigeru ; Udaka, Hideo ; Hirano, Tomoaki
Author_Institution :
Dept. of Prediction & Control, Inst. of Stat. Math., Tokyo, Japan
Abstract :
Forecasting stock price in level is very difficult because such a series is often described as an integrated process. In spite of that, a linear combination of two stock prices can be stationary around a fixed mean. Then taking both long and short position can lead to profit. This article aims to characterize the long-short strategies based on cointegration by investigating their risk-return properties.
Keywords :
costing; economic cybernetics; investment; risk management; statistical analysis; stock markets; cointegration; econometrics; long-short trading strategies; risk-return properties; stock market; stock price forecasting; Decision making; Econometrics; Investments; Mathematics; Polynomials; Predictive models; Stochastic processes; Stock markets; Testing; Time series analysis;
Conference_Titel :
Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on
Print_ISBN :
0-7803-7654-4
DOI :
10.1109/CIFER.2003.1196289
