Cointegrating to trade pairs in brazilian stock market

This paper investigates pairs trading strategy by using the cointegration method among the 10 most popular agricultural future markets.

It is found that only in 2 pairs shows trading signal. The pairs trading strategy is performed in two stages that are the formation period and the trading period with daily futures data from to After the formation period was constructed, it is assumed that the cointegration error continues to hold the trading period same as it does for the formation period.

The pairs trading strategy is created by the long position cotton and the short position coffee and also long position cotton and short position the livecattle. It is found that the profitability of this strategy worked well in both formation period and trading period.

Pairs Trading, Cointegration Approach, Futures Market, Commodities, Statistical Arbitrage.

Cointegrating to trade pairs in Brazilian stock market.

Ungever, Cuneyt, Pairs Trading to the Commodities Futures Market Using Cointegration Method January 9, International Journal of Commerce and Finance, Vol. Subscribe to this fee journal for more curated articles on this topic. Cookies are used by this site.

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Cointegration in Forex Pairs Trading - Algorithmic and Mechanical Forex Strategies | OneStepRemoved

Cuneyt Ungever Istanbul Commerce University, Students. Abstract This paper investigates pairs trading strategy by using the cointegration method among the 10 most popular agricultural future markets. Cuneyt Ungever Contact Author Istanbul Commerce University, Students email Istanbul Turkey.

Download this Paper Open PDF in Browser. Stulz at Ohio State University OSU - Department of Finance, G. William Schwert at University of Rochester - Simon Business School.

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