On the sensibility of the pairs trading strategy: The case of the FTS stock market index

• Ainhoa Fernández-Pérez ^[1] ; María de las Nieves López-García ^[1] ; José Pedro Ramos Requena ^[1]
  1. [1] Universidad de Almería

     Universidad de Almería

     Almería, España

     
• Localización: Estudios de economía aplicada, ISSN 1133-3197, ISSN-e 1697-5731, Vol. 38, Nº 3, 2020 (Ejemplar dedicado a: Africa: Economic transformations and development challenges (II))
• Idioma: inglés
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• 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.