Global ETD Search
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Showing 1 to 6 of 6 for “"Pairs-Trading"”.
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Pairs trading: a copula approach
Pairs trading is an arbitrage strategy that involves identifying a pair of stocks known to move together historically and trading on them when relative mispricing occurs. The strategy involves shorting the overvalued stock and simultaneously going long on the undervalued stock and closing the …
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Does Pairs trading work on the Johannesburg Stock Exchange?
In this study it was examined whether Pairs trading is a potentially profitable trading strategy on the Johannesburg Stock Exchange. Pairs trading is a quantitative based trading strategy, in which shares are paired up based on a historic price relationship and traded accordingly, in a contrarian …
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Pairs-Trading: Umsetzung einer quantitativen Handelsstrategie am deutschen Aktienmarkt zur Prüfung der schwachen Markteffizienz
… aus. Diese Arbeit hat das Ziel, den Erfolg der Pairs-Trading-Strategie, eine Unterkategorie der Relative-Value-Strategien, am deutschen Aktienmarkt zu testen und anschließend zu prüfen, ob die risikoadjustierte Performance mit der schwachen Markteffizienz zu vereinbaren ist.
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Algoritminė prekyba naudojant „prekyba poromis“ /
Algorithmic Trading using Pairs Training Pairs trading is a market neutral trading strategy that matches long position with short position in a pair of highly correlated two stocks. This is when we buy a share A when its value is very low (long position) and sell a share B when its value is too …
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Administración algorítmica de portafolio con Hidden Markov models
Esta tesis implementa una estrategia de trading de alta frecuencia, conocida como pairs trading, sobre los activos de un portafolio haciendo uso de diversos algoritmos de machine learning. Se hace énfasis en el uso de los Hidden Markov Models para mejorar la estrategia de trading y la …
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Statistical arbitrage in South African financial markets
… of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. The strategy is implemented with an algorithmic trading setup that models the spread in a state-space form...