Pairs Trading to the Commodities Futures Market Using…资料.pdfVIP

International Journal of Commerce and Finance, Vol. 1, Issue 1, 2015, 25-38 PAIRS TRADING TO THE COMMODITIES FUTURES MARKET USING COINTEGRATION METHOD Cüneyt Ungever, (Phd Candidate) Istanbul Commerce University, Turkey Abstract: This paper investigates pairs trading strategy by using the cointegration method among the 10 most popular agricultural future markets. It is found that only in 2 pairs shows trading signal. The pairs trading strategy is performed in two stages that are the formation period and the trading period with daily futures data from 2004 to 2015. After the formation period was constructed, it is assumed that the cointegration error continues to hold the trading period same as it does for the formation period. The pairs trading strategy is created by the long position cotton and the short position coffee and also long position cotton and short position the livecattle. It is found that the profitability of this strategy worked well in both formation period and trading period. e c n Keywords: Pairs Trading, Cointegration Approach, Futures Market, Commodities, Statistical Arbitrage a n i F 1. Introduction: d n a e The Pairs trade, also known as a statistical arbitrage strategy or a convergence trading strategy, is a market neutral c trading strategy. The conception of pairs trading is the simultaneous buying and selling two historically correlated r e securities. This investment strategy requires buying the under-valued security (long position) while short s