Tao Tang

Jinan University

Huang Pu Da Dao Xi 601, Tian He District

Guangzhou, Guangdong 510632

China

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Supercointegrated

Number of pages: 51 Posted: 21 Jul 2017 Last Revised: 27 Nov 2017
Isabel Figuerola-Ferretti, Pedro Serrano, Tao Tang and Antoni Vaello-Sebastià
Comillas Pontifical University, University Carlos III of Madrid - Department of Business Administration, Jinan University and University of the Balearic Islands
Downloads 752 (52,415)

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Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

The dynamic effects of macroeconomic announcements on the volatilities of renminbi onshore and offshore exchange rates

Number of pages: 46 Posted: 17 Apr 2020 Last Revised: 13 Oct 2022
Zhitao Lin and Tao Tang
Jinan University - School of Economics and Jinan University
Downloads 71 (494,633)

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Macroeconomic announcements, RMB exchange rate volatility, CNY, CNH, MS-VARX model

3.

Pairs Trading and Spread Persistence in the European Stock Market

Forthcoming, Journal of Futures Markets
Posted: 11 Nov 2017 Last Revised: 07 May 2018
Isabel Figuerola-Ferretti, Ioannis Paraskevopoulos and Tao Tang
Comillas Pontifical University, Bankia and Jinan University

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pairs trading, cointegration, price discovery, error persistence, trading trigger