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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Language: | English |
| Published: |
2023
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11610/24937 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1828461829220728832 |
|---|---|
| author | Μαρκάκη, Αγγελική |
| author2 | Ξανθόπουλος, Στυλιανός |
| author_sort | Μαρκάκη, Αγγελική |
| collection | DSpace |
| description | 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). |
| id | oai:hellanicus.lib.aegean.gr:11610-24937 |
| institution | Hellanicus |
| language | English |
| publishDate | 2023 |
| record_format | dspace |
| title | The aspect of pairs trading for statistical arbitrage |
| topic | χρονοσειρές στατιστικά ακίνδυνο κέρδος χρηματοοικονομικά μαθηματικά spurious regression pairs trading statistical arbitrage Time-series analysis Arbitrage--Mathematical models Pairs trading |
| url | http://hdl.handle.net/11610/24937 |
| work_keys_str_mv | AT markakēangelikē theaspectofpairstradingforstatisticalarbitrage AT markakēangelikē tacharaktēristikatoutradingzeugōnmetochōnkaiēepiteuxēstatistikaakindynoukerdous AT markakēangelikē aspectofpairstradingforstatisticalarbitrage |