Wenjun Xie

Nanyang Technological University (NTU) - Division of Banking & Finance

S3-B1B-76 Nanyang Avenue

Singapore, 639798

Singapore

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

Pairs Trading with Copulas

Posted: 23 Jan 2014
Wenjun Xie, Qi Rong Liew, Yuan Wu and Xi Zou
Nanyang Technological University (NTU) - Division of Banking & Finance, Nanyang Technological University (NTU), Nanyang Technological University (NTU) - Division of Banking & Finance and Nanyang Technological University (NTU)

Abstract:

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Pairs Trading, Copulas, Dependency Structure, Correlation

2.

Copula-Based Pairs Trading Strategy

Asian Finance Association (AsFA) 2013 Conference
Posted: 31 Jan 2013 Last Revised: 17 Jun 2015
Wenjun Xie and Yuan Wu
Nanyang Technological University (NTU) - Division of Banking & Finance and Nanyang Technological University (NTU) - Division of Banking & Finance

Abstract:

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pairs trading, copula, dependency, trading strategy