Essays about: "Cointegration Error Correction Model Pairs Trading"
Found 1 essay containing the words Cointegration Error Correction Model Pairs Trading.
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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 institutionenAbstract : 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
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