The aspect of pairs trading for statistical arbitrage
The main thing that distinguishes financial time series analysis from other time series analysis, is that the former behave in a very unique way. This is due to the existence of unit roots. In this thesis we will present the fundamental theory behind unit root tests, spurious regression and cointeg...
Αποθηκεύτηκε σε:
| Κύριος συγγραφέας: | |
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| Άλλοι συγγραφείς: | |
| Γλώσσα: | English |
| Δημοσίευση: |
2023
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| Θέματα: | |
| Διαθέσιμο Online: | http://hdl.handle.net/11610/24937 |
| Ετικέτες: |
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| Περίληψη: | The main thing that distinguishes financial time series analysis from other time series analysis, is that the former behave in a very unique way. This is due to the existence of unit roots. In this thesis we will present the fundamental theory behind unit root
tests, spurious regression and cointegration. In the application we implement different strategies and measure their performance. This is in order to showcase the concept of statistical arbitrage and compare different strategies, such as the long only strategy, the
ADL strategy and spread strategy (pairs trading). |
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