Document details

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


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.

Document Type Master thesis
Language English
Advisor(s) Boons, Martijn
Contributor(s) Almeida, Gustavo Filipe Direitinho Nunes de
facebook logo  linkedin logo  twitter logo 
mendeley logo

Related documents

No related documents