Pair trading is a statistical arbitrage investment strategy. Traditionally, cointegration has been utilized in the pair exploring step to discover a pair with a similar price movement. Recently, the clustering analysis has attracted many researchers' attention, replacing the cointegration method. This study tests a clustering-driven pair trading investment strategy in the Korean stock market. If a pair detected through clustering has a large spread during the spread exploring period, the pair is included in the portfolio for backtesting. The profitability of the clustering-driven pair trading strategies is investigated based on various profitability measures such as the distribution of returns, cumulative returns, profitability by period, and sensitivity analysis on different parameters. The backtesting results show that the pair trading investment strategy is valid in the Korean stock market. More interestingly, the clustering-driven portfolio investments show higher performance compared to benchmarks. Note that the hierarchical clustering shows the best portfolio performance.

1. 서 론
2. 이론적 배경
    2.1 선행연구
    2.2 K-평균 군집
    2.3 계층적 군집
3. 군집화 기반 페어트레이딩 전략
    3.1 데이터 전처리
    3.2 군집화 기반 페어 포착 및 투자전략
    3.3 포트폴리오 수익성 지표
4. 백테스팅 결과 및 분석
    4.1 수익성 평가
    4.2 기간별 수익성 평가
    4.3 민감도 분석
5. 결 론
Acknowledgement
References

• Poongjin Cho(한양대학교 산업공학과) | 조풍진
• Minhyuk Lee(부산대학교 경영학부) | 이민혁
• Jae Wook Song(한양대학교 산업공학과) | 송재욱 Corresponding author