Publicação
Pairs Trading using a Cointegration Approach: An Empirical Investigation using US Stock Market data
| datacite.subject.fos | Ciências Naturais::Ciências da Computação e da Informação | pt_PT |
| dc.contributor.advisor | Bravo, Jorge Miguel Ventura | |
| dc.contributor.author | Lourenço, Samuel Tomé Alexandre | |
| dc.date.accessioned | 2024-11-12T12:51:22Z | |
| dc.date.available | 2024-11-12T12:51:22Z | |
| dc.date.issued | 2024-10-29 | |
| dc.description | Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management | pt_PT |
| dc.description.abstract | This dissertation will study the return of a pairs trading strategy in the US stock market. Pairs trading is a market-neutral trading strategy that exploits the price movements between two historically correlated securities. The purpose of this thesis is to evaluate the performance of the cointegration approach in this market-neutral strategy and to assess if it has an edge over other strategies. This research employs a quantitative approach, using historical price data of 50 securities from various sectors over 8 years. The study applies a cointegration approach to identify pairs and execute trades, with the approach done with the Engle-Granger method. Performance metrics such as returns, Sharpe ratio, and maximum drawdown are analyzed. The findings in this study indicate that pairs trading can generate consistent returns with relatively low volatility in stable market conditions. However, the strategy's performance deteriorates during periods of high market volatility. This study observed that the pairs trading strategy had better returns with cointegrated pairs and contributed to the existing literature on the cointegration approach by offering a complete evaluation of pairs trading performance and returns with US stock market data. | pt_PT |
| dc.identifier.tid | 203776291 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/175046 | |
| dc.language.iso | eng | pt_PT |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | pt_PT |
| dc.subject | Pairs Trading | pt_PT |
| dc.subject | Cointegration | pt_PT |
| dc.subject | Least Squares | pt_PT |
| dc.subject | Market-neutral strategy | pt_PT |
| dc.subject | Statistical Arbitrage | pt_PT |
| dc.subject | SDG 4 - Quality education | pt_PT |
| dc.subject | SDG 8 - Decent work and economic growth | pt_PT |
| dc.title | Pairs Trading using a Cointegration Approach: An Empirical Investigation using US Stock Market data | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Estatística e Gestão de Informação, especialização em Análise e Gestão de Risco | pt_PT |