The high sensitivity of pairs trading returns (Record no. 162892)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01250nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20230704145237.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 230704b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MSU |
| Transcribing agency | MSU |
| Description conventions | rda |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | HUCK, Nicolas |
| 245 ## - TITLE STATEMENT | |
| Title | The high sensitivity of pairs trading returns |
| 264 ## - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | New York |
| Name of producer, publisher, distributor, manufacturer | Taylor & Francis |
| Date of production, publication, distribution, manufacture, or copyright notice | 2013 |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| Content type term | text |
| Content type code | txt |
| 337 ## - MEDIA TYPE | |
| Source | rdamedia |
| Media type term | unmediated |
| Media type code | n |
| 338 ## - CARRIER TYPE | |
| Source | rdacarrier |
| Carrier type term | volume |
| Carrier type code | nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Applied Economics Letters |
| Volume/sequential designation | Volume , number , |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Pairs trading is a simple and popular relative value trading strategy. This article deals with the most common implementation of the method based on a distance criterion. It demonstrates the high sensitivity of the return to changes in the length of the formation period and shows that a reasonable modification of this parameter may lead to generate positive excess returns which are robust to data snooping. This empirical result underlines the difficulty in understanding pairs trading returns, dynamics and sources of profitability through time. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | pairs trading |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | pairs selection |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | sensitivity |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | https://doi.org/10.1080/13504851.2013.802121 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Date last seen | Price effective from | Koha item type | Public note |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Main Library | Main Library | - Special Collections | 04/07/2023 | Vol.20 , No.13 - 15 (Oct 2013) | HB1.A666 APP | 04/07/2023 | 04/07/2023 | Journal Article | For In House Use Only |