Concepedia

Convergence Trading

Convergence Trading is a quantitative investment strategy, belonging to the class of arbitrage techniques, that exploits anticipated reductions in price discrepancies between related financial instruments by taking offsetting long and short positions with the expectation that their prices will converge over time.

17

Publications

1.3K

Citations

21

Authors

22

Institutions

Publications per year

2017–2026

2

Parents

Publications

17

How Profitable Is Capital Structure Arbitrage?

Yu Fan · Financial Analysts Journal · 2006 · 467 citations

, , +17

Convergence trading with wealth effects: an amplification mechanism in financial markets

Wei Xiong · Journal of Financial Economics · 2001 · 297 citations

, , +15

Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading

Péter Kondor · The Journal of Finance · 2009 · 162 citations

, , +16

Optimal Convergence Trade Strategies

Jun Liu, Allan Timmermann · Review of Financial Studies · 2013 · 81 citations

, , +13

Trade, convergence and overtaking

Andrew Mountford · Journal of International Economics · 1998 · 71 citations

, , +6

1–5 of 17

Authors

21

  1. RV
    Rashesh Vaidya

    Tribhuvan University, Nepal

    1 publications · 17 citations

    1

    h-index

  2. VM
    Vikas Mehrotra

    University of Alberta, Canada

    1 publications · 15 citations

    1

    h-index

  3. CB
    Claus Bajlum

    Aarhus University, Denmark

    1 publications · 13 citations

    1

    h-index

  4. AF
    Alessandro Fontana

    European Central Bank, Germany

    1 publications · 21 citations

    1

    h-index

  5. JL
    Jun Liu

    Shanghai University, China

    1 publications · 81 citations

    1

    h-index

1–5 of 21

Institutions

22

  1. Federal Reserve Bank of New York

    New York, United States

    1 h-index

    1 publications

    12 citations

  2. SV Health Investors (United States)

    Boston, United States

    1 h-index

    1 publications

    11 citations

  3. Aarhus University

    Aarhus, Denmark

    1 h-index

    1 publications

    13 citations

  4. Copenhagen Business School

    Copenhagen, Denmark

    1 h-index

    1 publications

    13 citations

  5. British Academy

    London, United Kingdom

    1 h-index

    1 publications

    162 citations

  6. Hong Kong Polytechnic University

    Hong Kong, Hong Kong

    1 h-index

    1 publications

    11 citations

  7. University of California, Irvine

    Irvine, United States

    1 h-index

    1 publications

    467 citations

  8. University of California San Diego

    San Diego, United States

    1 h-index

    2 publications

    162 citations

1–8 of 22

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 87 citations

    4

    h-index

  2. Journal of Symbolic Computation

    1 publications · 36 citations

    1

    h-index

  3. International Review of Financial Analysis

    IRFA · 1 publications · 11 citations

    1

    h-index

  4. 1

    h-index

  5. Journal of Futures Markets

    1 publications · 21 citations

    1

    h-index

1–5