Essays about: "Cointegration Error Correction Model Pairs Trading"

Found 1 essay containing the words Cointegration Error Correction Model Pairs Trading.

  1. 1. Pairs Trading: an Extension to the CointegrationApproach : Can a cointegration approach based on low frequency data trading still beatthe market in contemporary years?

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Olof Hansson; Isak Aggeborn; [2017]
    Keywords : Cointegration Error Correction Model Pairs Trading;

    Abstract : This paper examines the (in contemporary literature inconclusive) usefulness ofcointegration between stock prices as basis for a trading strategy. The primary contributionto previously used frameworks of the paper is the implementation and use of error correctionmodels for selection of stocks to trade on. READ MORE