著者

石鎚 英也

出版者

専修大学情報科学研究所

雑誌

情報科学研究 (ISSN:02866048)

巻号頁・発行日

vol.30, pp.1-34, 2010-03-01

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It is widely known that various anomalies and stylized facts go with stock prices. Volatility clustering and calendar effects in price time series are well-known examples. Some traders take advantage of such market distortions to increase their profits or reduce the risks of trading. Pairs trading is one of their practical and typical ways. In this paper, time-series data of stock prices in the first section of the Tokyo Stock Exchange are investigated, and risks in and rewards for pairs trading is evaluated through computer simulation.