Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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Pair Trading Implemented in Three Asset Pairs in the Finance Market

Authors
Ziyong Liu1, Hao Wang2, Shujie Wang3, *
1LNU-MSU College of International Business, Liaoning Normal University, Dalian, China
2Kogod Business School, American University, Washington D.C, USA
3Economics and Trade College Guangdong, University of Foreign Studies, Guangzhou, China
*Corresponding author. Email: gpjmxy@gdufs.edu.cn
Corresponding Author
Shujie Wang
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_74How to use a DOI?
Keywords
arbitrage; pair-trading; stocks; Future
Abstract

Arbitrage is a well-known and commonly used approach in the financial market, where large amounts of trades are associated with it. Pair-trading, one of the most prevalent statistical arbitrage methods, is used in this paper to construct a portfolio of three asset pairs, i.e., gold and silver future prices, Tesla and Bitcoin prices, and Apple and Microsoft stock prices. The data was obtained from Wind and Yahoo Finance, and the strategy's major goal is to achieve a consistent revenue ratio with minimal drawbacks. According to the back-testing, it is possible to achieve a revenue ratio of above average for each year with low risk. These results shed light on guiding further researches focusing on arbitrage.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
10.2991/978-94-6463-042-8_74
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_74How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Ziyong Liu
AU  - Hao Wang
AU  - Shujie Wang
PY  - 2022
DA  - 2022/12/29
TI  - Pair Trading Implemented in Three Asset Pairs in the Finance Market
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 515
EP  - 520
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_74
DO  - 10.2991/978-94-6463-042-8_74
ID  - Liu2022
ER  -