Updated: May 21
Authors: Sayad Baronyan, Ilkay Boduroglu, Emrah Şener
We investigate several market-neutral trading strategies and find empirical evidence that market-neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use 14 distinct market-neutral trading strategies, using the combination of seven trading methods and two selection methods of pairs trading.
Fig. 1 Cumulative Return Graphs of 2STD Trading Methods