论文标题
黄金标准对交易规则：它们有效吗？
Gold Standard Pairs Trading Rules: Are They Valid?
论文作者
论文摘要
Pairs Trading是一种基于利用证券价格的平均回归的策略。已显示它会产生大量的超额回报，但其盈利能力在最近的时期已大大下降。从1990年到2020年，我们对美国股票采用了最常见的距离和协整方法，包括1990年的危机。即使使用超参数调整，该策略总体上也无法胜过市场基准，但在熊市中的表现非常强劲。此外，我们证明了市场因素与该战略的最佳参数化具有牢固的关系，并且调整适合现代市场条件。
Pairs trading is a strategy based on exploiting mean reversion in prices of securities. It has been shown to generate significant excess returns, but its profitability has dropped significantly in recent periods. We employ the most common distance and cointegration methods on US equities from 1990 to 2020 including the Covid-19 crisis. The strategy overall fails to outperform the market benchmark even with hyperparameter tuning, but it performs very strongly during bear markets. Furthermore, we demonstrate that market factors have a strong relationship with the optimal parametrization for the strategy, and adjustments are appropriate for modern market conditions.
