Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/14650
Título: Enhancing and implementing a pairs trading strategy
Autor: Almeida, Gustavo Filipe Direitinho Nunes de
Orientador: Boons, Martijn
Palavras-chave: Pairs trading
Investment modeling
Statistical arbitrage
Data de Defesa: Mai-2014
Resumo: 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.
URI: http://hdl.handle.net/10362/14650
Designação: 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
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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