Enhancing and implementing a pairs trading strategy

• Author(s): Almeida, Gustavo Filipe Direitinho Nunes de
• Date: 2014
• Persistent ID: http://hdl.handle.net/10362/14650
• Origin: Repositório Institucional da UNL
• Subject(s): Pairs trading; Investment modeling; Statistical arbitrage
• Document Type: Master thesis
• Language: English
• Advisor(s): Boons, Martijn
• Contributor(s): RUN

Description

This paper designs a pairs trading model with the intent to identify existing profitable market opportunities to invest, i.e. traditionally strong correlated stocks that have diverged from its historical norm. It comprises a broad literature review on this strategy whose relevant findings (strategy improvements) are contemplated in the model. The authors combine the statistical results of the model with a backtesting analysis in order to provide guidance on the best investment opportunities.

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