Document details

Enhancing and implementing a pairs trading strategy

Author(s): Almeida, Gustavo Filipe Direitinho Nunes de

Date: 2014

Persistent ID:

Origin: Repositório Institucional da UNL

Subject(s): Pairs trading; Investment modeling; Statistical arbitrage


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
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