Publicação
Enhancing and implementing a pairs trading strategy
| dc.contributor.advisor | Boons, Martijn | |
| dc.contributor.author | Almeida, Gustavo Filipe Direitinho Nunes de | |
| dc.date.accessioned | 2015-04-09T08:19:11Z | |
| dc.date.available | 2015-04-09T08:19:11Z | |
| dc.date.issued | 2014-05 | |
| dc.description | A Work Project presented as part of the requirements for the Award of a Master‟s Degree in Economics from the NOVA – School of Business and Economics | en |
| dc.description.abstract | 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. | por |
| dc.description.sponsorship | NSBE - UNL | por |
| dc.identifier.tid | 201528363 | |
| dc.identifier.uri | http://hdl.handle.net/10362/14650 | |
| dc.language.iso | eng | por |
| dc.subject | Pairs trading | por |
| dc.subject | Investment modeling | por |
| dc.subject | Statistical arbitrage | por |
| dc.title | Enhancing and implementing a pairs trading strategy | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |
| thesis.degree.discipline | Economia | por |
| thesis.degree.level | Mestre | por |
| thesis.degree.name | A Work Project presented as part of the requirements for the Award of a Master‟s Degree in Economics from the NOVA – School of Business and Economics | por |