{"id":"https://openalex.org/W2198910233","doi":"https://doi.org/10.1016/j.iref.2015.10.036","title":"Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500","display_name":"Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500","publication_year":2015,"publication_date":"2015-10-26","ids":{"openalex":"https://openalex.org/W2198910233","doi":"https://doi.org/10.1016/j.iref.2015.10.036","mag":"2198910233"},"language":"en","primary_location":{"id":"doi:10.1016/j.iref.2015.10.036","doi":"https://doi.org/10.1016/j.iref.2015.10.036","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.iref.2015.10.036","pdf_url":null,"source":{"id":"https://openalex.org/S168273071","display_name":"International Review of Economics & Finance","issn_l":"1059-0560","issn":["1059-0560","1873-8036"],"is_oa":false,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","doaj","erih-plus","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Economics & Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049129019","display_name":"Jen-Wei Yang","orcid":"https://orcid.org/0000-0002-7525-625X","observed_orcids":["https://orcid.org/0000-0002-7525-625X"]},"institutions":[{"id":"https://openalex.org/I16733864","display_name":"National Taiwan University","ror":"https://ror.org/05bqach95","country_code":"TW","type":"education","lineage":["https://openalex.org/I16733864"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Jen-Wei Yang","raw_affiliation_strings":["Department of Finance, National Taiwan University, Taipei, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, National Taiwan University, Taipei, Taiwan","institution_ids":["https://openalex.org/I16733864"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5086559959","display_name":"Shu-Yu Tsai","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Shu-Yu Tsai","raw_affiliation_strings":["MasterLink Securities Corporation, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"MasterLink Securities Corporation, Taiwan","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016053460","display_name":"So\u2010De Shyu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I29742261","display_name":"Takming University of Science and Technology","ror":"https://ror.org/002xar614","country_code":"TW","type":"education","lineage":["https://openalex.org/I29742261"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"So-De Shyu","raw_affiliation_strings":["Department of Finance, Takming University of Science and Technology, Taipei, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, Takming University of Science and Technology, Taipei, Taiwan","institution_ids":["https://openalex.org/I29742261"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5014143571","display_name":"Chia\u2010Chien Chang","orcid":"https://orcid.org/0000-0001-7094-7468","observed_orcids":["https://orcid.org/0000-0001-7094-7468"]},"institutions":[{"id":"https://openalex.org/I89178830","display_name":"National Kaohsiung University of Applied Sciences","ror":"https://ror.org/04wydzr61","country_code":"TW","type":"education","lineage":["https://openalex.org/I4387154394","https://openalex.org/I89178830"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Chia-Chien Chang","raw_affiliation_strings":["Department of Finance, National Kaohsiung University of Applied Science, Kaohsiung, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, National Kaohsiung University of Applied Science, Kaohsiung, Taiwan","institution_ids":["https://openalex.org/I89178830"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5014143571"],"corresponding_institution_ids":["https://openalex.org/I89178830"],"apc_list":{"value":1930,"currency":"USD","value_usd":1930},"apc_paid":null,"fwci":4.4673,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.9442353,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"43","issue":null,"first_page":"139","last_page":"150"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9833999872207642,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9833999872207642,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.006800000090152025,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.005400000140070915,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/pairs-trading","display_name":"pairs trading","score":1.0},{"id":"https://openalex.org/keywords/markov-switching-model","display_name":"Markov regime switching","score":0.9169999957084656},{"id":"https://openalex.org/keywords/vasicek-model","display_name":"Vasicek model","score":0.9700000286102295},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"mean reversion","score":0.9900000095367432},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.871999979019165}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.8608920574188232},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.7340372800827026},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.6831889152526855},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6278663277626038},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6052721738815308},{"id":"https://openalex.org/C201608381","wikidata":"https://www.wikidata.org/wiki/Q2331759","display_name":"Vasicek model","level":3,"score":0.5937976837158203},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5920096039772034},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5311939120292664},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.514234721660614},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.44351452589035034},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4084037244319916},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.28899258375167847},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.25877976417541504},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.24230363965034485},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.06529340147972107},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.06254997849464417},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.iref.2015.10.036","doi":"https://doi.org/10.1016/j.iref.2015.10.036","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.iref.2015.10.036","pdf_url":null,"source":{"id":"https://openalex.org/S168273071","display_name":"International Review of Economics & Finance","issn_l":"1059-0560","issn":["1059-0560","1873-8036"],"is_oa":false,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","doaj","erih-plus","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Economics & Finance","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W630559790","https://openalex.org/W2042287092","https://openalex.org/W2063002126","https://openalex.org/W2066408599","https://openalex.org/W2066957668","https://openalex.org/W2074812030","https://openalex.org/W2076057077","https://openalex.org/W2091592366","https://openalex.org/W2104579924","https://openalex.org/W2107535465","https://openalex.org/W2110603299","https://openalex.org/W2149558700","https://openalex.org/W2149795368","https://openalex.org/W2151564376","https://openalex.org/W2157895285","https://openalex.org/W2485669722","https://openalex.org/W2891742075","https://openalex.org/W3122010751","https://openalex.org/W4256431242"],"related_works":["https://openalex.org/W2780331365","https://openalex.org/W3144209525","https://openalex.org/W4285064925","https://openalex.org/W3124028351","https://openalex.org/W2539626366","https://openalex.org/W3027780774","https://openalex.org/W7097511795","https://openalex.org/W2904952714","https://openalex.org/W7004966387","https://openalex.org/W4388763693"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}