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What is Pairs Trading Research Paper about?

This thesis examines pairs trading strategies in foreign exchange rate markets using intraday data for 26 currency pairs from 2006 to 2021. It evaluates two pairs formation methods (distance and cointegration), thresholds-based trading models, and the use of recurrent neural networks like LSTMs to forecast trading signals. The optimal strategy found generates a 16.48% cumulative net return out-of-sample from 2015 to 2021 using cointegration formation, thresholds trading, and LSTMs. Excluding Swiss Franc and

Author

angulodelgadojorge

Language

EN