Isabel Figuerola-Ferretti

Comillas Pontifical University

Alberto Aguilera 21

Madrid, Madrid 28015

Spain

SCHOLARLY PAPERS

2

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552

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

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-SebastiĆ 
Comillas Pontifical University, University Carlos III of Madrid - Department of Business Administration, Jinan University and University of the Balearic Islands
Downloads 552 (50,961)

Abstract:

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Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

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

Abstract:

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