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Time series regression-based pairs trading in the Korean equities market
Saejoon Kim
*
,
Jun Heo
*
Corresponding author for this work
Research output
:
Contribution to journal
›
Article
›
peer-review
13
Citations (Scopus)
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Keyphrases
Regression-based Method
100%
Equity Markets
100%
Time Series Regression
100%
Pairs Trading
100%
Threshold Method
33%
Low Risk
33%
Time Use
33%
Fixed Threshold
33%
Excess Returns
33%
Statistical Arbitrage
33%
Quantitative Data Analysis
33%
Capitalization
33%
Risk Trading
33%
Economics, Econometrics and Finance
Time Series
100%
Arbitrage
50%