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Enhancing and implementing a pairs trading strategy
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 2.1 MB | Adobe PDF |
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Pairs trading Investment modeling Statistical arbitrage