Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Selecting stock pairs for pairs trading while incorporating lead-lag
  relationship   Pairs Trading is carried out in the financial market to earn huge profits
from known equilibrium relation between pairs of stock. In financial markets,
seldom it is seen that stock pairs are correlated at particular lead or lag.
This lead-lag relationship has been empirically studied in various financial
markets. Earlier research works have suggested various measures for identifying
the best pairs for pairs trading, but they do not consider this lead-lag
effect. The present study proposes a new distance measure which incorporates
the lead-lag relationship between the stocks while selecting the best pairs for
pairs trading. Further, the lead-lag value between the stocks is allowed to
vary continuously over time. The proposed measures importance has been
show-cased through experimentation on two different datasets, one corresponding
to Indian companies and another corresponding to American companies. When the
proposed measure is clubbed with SSD measure, i.e., when pairs are identified
through optimising both these measures, then the selected pairs consistently
generate the best profit, as compared to all other measures. Finally, possible
generalisation and extension of the proposed distance measure have been
discussed.

31
The categories of this paper are: ao-sci
32
The categories of this paper are: atom-ph
2
The categories of this paper are: math
0
The categories of this paper are: hep-ph
25
The categories of this paper are: patt-sol
35
The categories of this paper are: mtrl-th
21
The categories of this paper are: adap-org
8
The categories of this paper are: hep-ex
12
The categories of this paper are: nucl-th
30
The categories of this paper are: q-alg
7
The categories of this paper are: hep-th
19
The categories of this paper are: eess
37
The categories of this paper are: supr-con
10
The categories of this paper are: q-bio
9
The categories of this paper are: nlin
11
The categories of this paper are: hep-lat