Statistical arbitrage in South African financial markets

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...

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2011

Author dc:creator

• Govender, Kieran

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/12241

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/12241