Title: Pairs Trading with Chinese Index Futures and its Implied Timing Ability
Abstract: The strong government intervention and irrational investment behavior from large group of individual investors have posted challenge to quantitative investors. Many have given up their research endeavor and some even claimed Chinese stock market is a dead land for quantitative investment. We agree that some restrictions in Chinese stock market have limited the use of a few strategies. From the pure systematic trading point of view, as long as liquidity exists in Chinese future market, professional quantitative investors should be able to find appropriate strategies that work in this unique market.
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
Indexed In: ['crossref']
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