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Correlation Trading Strategies: Opportunities and Limitations

Gunter Meissner
The Journal of Trading Fall 2016, 11 (4) 14-32; DOI: https://doi.org/10.3905/jot.2016.11.4.014
Gunter Meissner
is president of Derivatives Software in Honolulu, HI, and adjunct professor of mathematical finance at Columbia University in New York, NY, and the Courant Institute, New York University in New York, NY.
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  • For correspondence: gunter@dersoft.com
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Abstract

This article gives an overview of and analyzes the most popular correlation trading strategies in financial practice. Six correlation strategies are discussed: 1) empirical correlation trading, 2) pairs trading, 3) multiasset options, 4) structured products, 5) correlation swaps, and 6) dispersion trading. Additionally, this article briefly focuses on trading correlation and outlines the risk managing properties of correlation products.

TOPICS: Statistical methods, risk management

  • © 2016 Institutional Investor, Inc.
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The Journal of Trading: 11 (4)
The Journal of Trading
Vol. 11, Issue 4
Fall 2016
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Correlation Trading Strategies: Opportunities and Limitations
Gunter Meissner
The Journal of Trading Sep 2016, 11 (4) 14-32; DOI: 10.3905/jot.2016.11.4.014

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Correlation Trading Strategies: Opportunities and Limitations
Gunter Meissner
The Journal of Trading Sep 2016, 11 (4) 14-32; DOI: 10.3905/jot.2016.11.4.014
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  • Article
    • Abstract
    • PAIRS TRADING
    • MULTIASSET OPTIONS
    • STRUCTURED PRODUCTS
    • CORRELATION SWAPS
    • DISPERSION TRADING
    • RISK MANAGEMENT WITH CORRELATION PRODUCTS
    • CONCLUDING SUMMARY
    • ENDNOTES
    • REFERENCES
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