Abstract

https://ssrn.com/abstract=565441
 
 

References (11)



 
 

Citations (8)



 


 



High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds


Purnendu Nath


London Business School

November 2003


Abstract:     
This paper examines the implementation of a simple pairs trading strategy with automatic extreme risk control using the entire universe of securities in the highly liquid secondary market for U.S. government debt. It documents, from a practical viewpoint, the contrasts in the generic features of pairs trading with such securities compared with equities. The rewards emanating from the proposed strategy, after constructing an appropriate risk benchmark, are appraised using various traditional and relatively newer metrics. Using data from the repo and money market, estimates are also made of the distribution of absolute returns after accounting for financing and transaction costs.

Number of Pages in PDF File: 27

Keywords: Arbitrage, Bonds, Extreme Risk, Hedge Funds, Liquidity, Pairs Trading, Spread Trading, Statistical Arbitrage, U.S. Treasury Securities

JEL Classification: C52, C53, E47, G14


Open PDF in Browser Download This Paper

Date posted: July 19, 2004  

Suggested Citation

Nath, Purnendu, High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds (November 2003). Available at SSRN: https://ssrn.com/abstract=565441 or http://dx.doi.org/10.2139/ssrn.565441

Contact Information

Purnendu Nath (Contact Author)
London Business School ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
HOME PAGE: http://phd.london.edu/pnath
Feedback to SSRN


Paper statistics
Abstract Views: 14,719
Downloads: 5,822
Download Rank: 795
References:  11
Citations:  8