Statistical Arbitrage Strategies under Different Market Conditions: The Case of the Greek Banking Sector (Record no. 50448)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01414nam a2200193 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20181119164611.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 181119b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Mavrakis, Emmanouil |
| 9 (RLIN) | 32463 |
| 245 ## - TITLE STATEMENT | |
| Title | Statistical Arbitrage Strategies under Different Market Conditions: The Case of the Greek Banking Sector |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 159-186 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | In this article, we examine the behaviour of cointegration-based pairs trading (PT) strategies, under different market conditions. Reported results indicate that changes in market conditions affect the stability of long-run relations between pairs of stocks, therefore suggesting that arbitrageurs should perform rebalancing between the examined stocks when a change in market trend is evident. The applicability of our results may be of importance to market participants; although cointegration applications have received considerable attention from hedge funds adopting statistical arbitrage (SA) strategies, little evidence has been reported for the validity of these trading strategies under changing market conditions. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Cointegration |
| Uncontrolled term | pairs trading strategies |
| Uncontrolled term | market conditions |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Alexakis,Christos |
| 9 (RLIN) | 32464 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29445 |
| Host Itemnumber | 72762 |
| Main entry heading | GANGOPADHYAY, SHUBHASIS |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLICATION PVT. LTD. |
| Other item identifier | 5559437 |
| Title | JOURNAL OF EMERGING MARKET FINANCE |
| International Standard Serial Number | 0972-6527 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal 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| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 19/11/2018 | Vol 17, No 2/ 5559437JA1 | 5559437JA1 | 19/11/2018 | 19/11/2018 |