{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/12241"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/12241","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Statistical arbitrage in South African financial markets","abstract":"Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. 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However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example 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..."]},{"key":"dc:title","label":"Title","values":["Statistical arbitrage in South African financial markets"]}]}],"canonical_facts":{"dc:creator":["Govender, Kieran"],"dc:date.accessioned":["2015-01-15T18:36:24Z"],"dc:date.available":["2015-01-15T18:36:24Z"],"dc:date.issued":["2011"],"dc:description":["Includes abstract.","Includes bibliographic references (leaves 34-35)."],"dc:description.abstract":["Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example 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..."],"dc:identifier.uri":["http://hdl.handle.net/11427/12241"],"dc:language.iso":["eng"],"dc:publisher.department":["School of Economics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Statistical arbitrage in South African financial markets"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MCom"]},"updated_at":"2026-07-22T22:23:29Z"}