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Pairs Trading Strategy GGR (2006)

version 1.0.0.0 (42.2 KB) by chris zhang
pairs trading

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Updated 07 Oct 2016

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This code demonstrates the pairs trading strategy using "minimum distance criterion" as in Gatev et al.(2006), for both industry neutral stocks and industry stocks, the files enclosed are 3 separate scripts, one for cleaning the raw CRSP daily stock data, one for industry pairs and one for unrestricted pairs. SIC codes are sourced from the K.French website for the purpose of industry classification. THIS CODE IS A COMPLIMENT OF THE COINTEGRATION AND PAIRS TRADING BY Stuart Kozola.

Cite As

chris zhang (2019). Pairs Trading Strategy GGR (2006) (https://www.mathworks.com/matlabcentral/fileexchange/59541-pairs-trading-strategy-ggr-2006), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
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