Statistical Arbitrage on the Russian Stock Market

The paper is devoted to the statistical arbitrage method which is known as pairs trading, which is widely used in developed countries. There are a lot of academic papers which study the efficiency of pairs trading in different markets. However, nowadays it is not widely spread in Russia and scientific research in this problem area is at the origin. Furthermore, Russian studies are not as widescale as Western ones, so it is impossible to determine applicability of pairs trading on the Russian stock market. In this study pairs trading strategy was tested with hourly data over 2006-2015 with 39 common and preferred stocks. The total number of constructed pairs exceeded 500. The results are quite contradictory: in each tested period pairs trading both generates profit and yields losses. Profitability of the strategy is not stable during the study period. The reason of such results is that no restrictions such as stop-loss orders. However this strategy generated profit practically in each period. Thus, it is possible to claim that pairs trading is efficient trading method on the Russian Stock Exchange.