Dynamic Pairs Trading Strategy for the Companies Listed in the Istanbul Stock Exchange

26 Pages Posted: 22 Dec 2009

See all articles by Evren Bolgün

Evren Bolgün

IS Investment

Serhat Guven

Universitat Pompeu Fabra

Engin Kurun

ISE Settlement & Custody Bank

Date Written: November 24, 2009

Abstract

Pairs Trading Strategy.

Keywords: reversion, pairs trading, distance method, market neutral portfolio, Istanbul Stock Exchange, trading strategies

JEL Classification: G11, G12, G14

Suggested Citation

Bolgun, Evren and Güven, Serhat and KURUN, ENGİN, Dynamic Pairs Trading Strategy for the Companies Listed in the Istanbul Stock Exchange (November 24, 2009). Available at SSRN: https://ssrn.com/abstract=1438457 or http://dx.doi.org/10.2139/ssrn.1438457

Evren Bolgun (Contact Author)

IS Investment ( email )

IS Kuleleri IS Kule-2 Kat:8
4.Levent
Istanbul, 34330
Turkey

Serhat Güven

Universitat Pompeu Fabra ( email )

Ramon Trias Fargas, 25-27
Barcelona, E-08005
Spain

ENGİN KURUN

ISE Settlement & Custody Bank ( email )

IKMB TAKAS VE SAKLAMA BANKASI
SISLI MERKEZ MAH. MERKEZ CAD. NO:6 SISLI
ISTANBUL, 34381
Turkey

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