Introducing Hurst exponent in pair trading
作者： J.P. Ramos-Requena , J.E. Trinidad-Segovia , M.A. Sánchez-Granero
DOI: 10.1016/J.PHYSA.2017.06.032
关键词: Cointegration 、 Econometrics 、 Mathematics 、 Mathematical economics 、 Mean reversion 、 Hurst exponent 、 Financial market 、 Long memory 、 Pairs trade 、 Drawdown (economics)
摘要: Abstract In this paper we introduce a new methodology for pair trading. This method is based on the calculation of Hurst exponent pair. Our approach inspired by classical concepts co-integration and mean reversion but joined under unique strategy. We will show how presents better results than Distance Method Correlation strategies in different scenarios. Results obtained prove that consistent suitable reducing drawdown trading over ones getting as result performance.
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