Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange

Name: Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange
Author: Bolgün, K. E., Kurun, E., Güven, Serhat

İsim	Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange
Yazar	Bolgün, K. E., Kurun, E., Güven, Serhat
Basım Tarihi:	2012-03-02
Basım Yeri	- Springer International Publishing
Konu	Pairs trading, Market-neutral portfolio, Istanbul stock exchange, Turkish derivatives exchange, Trading strategies ETF
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1753-965X
Kayıt Numarası	73d8ecbd-f04b-4881-8bfe-7d92690f9926
Tarih	2012-03-02
Notlar	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Örnek Metin	We implemented model-driven statistical arbitrage strategies in Turkish equities market. Trading signals are generated by optimized parameters of distance method. When the trade in signal is triggered by the model, market-neutral portfolio is created by long in the synthetic ETF, which is based on constrained least squares regression of selected Istanbul Stock Exchange stocks and short in Turkish Derivatives Exchange (Turkdex) index futures contract. We performed pairs trading strategy based on a comparative mean reversion of asset prices with daily data over the period February 2005 through July 2011 in Istanbul Stock Exchange (ISE) and Turkdex. We constructed a hypothetical ISE30 ETF Index on a daily basis in order to originate pairs trading strategy with Turkdex. Because of the leverage rule of (1–10) index futures contracts, we had to evaluate spot stock pairs formation with futures contracts pairs strategy. The results indicate that applied pairs strategy produced overall returns of 901 per cent during the investment period, whereas naive strategy (buy and hold ISE-30 index) return for the same period was 111 per cent. Similar outperformance was observed in the Sharpe and Sortino ratios.
DOI	10.1057/jdhf.2012.2
Cilt	18

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Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange

Yazar Bolgün, K. E., Kurun, E., Güven, Serhat

Basım Tarihi 2012-03-02

Basım Yeri - Springer International Publishing

Konu Pairs trading, Market-neutral portfolio, Istanbul stock exchange, Turkish derivatives exchange, Trading strategies ETF

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1753-965X

Kayıt Numarası 73d8ecbd-f04b-4881-8bfe-7d92690f9926

Tarih 2012-03-02

Notlar Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Örnek Metin We implemented model-driven statistical arbitrage strategies in Turkish equities market. Trading signals are generated by optimized parameters of distance method. When the trade in signal is triggered by the model, market-neutral portfolio is created by long in the synthetic ETF, which is based on constrained least squares regression of selected Istanbul Stock Exchange stocks and short in Turkish Derivatives Exchange (Turkdex) index futures contract. We performed pairs trading strategy based on a comparative mean reversion of asset prices with daily data over the period February 2005 through July 2011 in Istanbul Stock Exchange (ISE) and Turkdex. We constructed a hypothetical ISE30 ETF Index on a daily basis in order to originate pairs trading strategy with Turkdex. Because of the leverage rule of (1–10) index futures contracts, we had to evaluate spot stock pairs formation with futures contracts pairs strategy. The results indicate that applied pairs strategy produced overall returns of 901 per cent during the investment period, whereas naive strategy (buy and hold ISE-30 index) return for the same period was 111 per cent. Similar outperformance was observed in the Sharpe and Sortino ratios.

DOI 10.1057/jdhf.2012.2

Cilt 18