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Quantitative Finance and Economics

2025, Volume 9, Issue 4: 912-932. doi: 10.3934/QFE.2025032
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Research article

Exploration of multiple asset investment opportunities based on pair trading

  • 1.
    Department of Business and Accounting, National Distance Education University (UNED), Paseo Senda del Rey, 11, 28040 Madrid, Spain
  • 2.
    Economic Analysis and Finance Department, Castilla La Mancha University (UCLM), Avenida de los Alfares, 42, 16071 Cuenca, Spain
  • Published: 09 December 2025

  • JEL Codes: C32, C58, G11, G12

  • The financial literature on pair trading shows that Johansen's methodology is the most consistent for finding long-term cointegrated assets. Previous work has either looked for cointegrating relationships of total assets when it was feasible to identify them or has only analyzed pairwise relationships. We present a bottom-up analysis of the possible cointegrating relationships among assets to search for the most profitable strategies. On monthly prices of stocks (Eurostosxx-50), we find that cointegration relationships go beyond two assets, have volatile behavior, and different terms. Both short-term and long-term investments show returns higher than the benchmark index.

    Citation: Mariano González-Sánchez, Juan M. Nave Pineda, Javier Ruiz Rincón. Exploration of multiple asset investment opportunities based on pair trading[J]. Quantitative Finance and Economics, 2025, 9(4): 912-932. doi: 10.3934/QFE.2025032

    Related Papers:

  • The financial literature on pair trading shows that Johansen's methodology is the most consistent for finding long-term cointegrated assets. Previous work has either looked for cointegrating relationships of total assets when it was feasible to identify them or has only analyzed pairwise relationships. We present a bottom-up analysis of the possible cointegrating relationships among assets to search for the most profitable strategies. On monthly prices of stocks (Eurostosxx-50), we find that cointegration relationships go beyond two assets, have volatile behavior, and different terms. Both short-term and long-term investments show returns higher than the benchmark index.



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  • © 2025 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
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