Essays about: "Erik Hognesius"

Found 1 essay containing the words Erik Hognesius.

  1. 1. On Pairs Trading : A Comparison between Cointegration and Correlation as Selection-criteria

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Erik Hognesius; Jakob Höllerbauer; [2014]
    Keywords : Pairs trading; Cointegration; Correlation; Simulation Study; NASDAQ100; Parhandel; Kointegration; Korrelation; Simuleringsstudie; NASDAQ100;

    Abstract : In this paper we show that pairs of stocks which have a true long run equilibrium (cointegration) yield a higher return than pairs of stocks that relies on a more spurious relationship (correlation) when applying Pairs Trading for a trading period from 31/12-09 to 25/6-14. We get an annual return for the cointegration portfolio of 4,15%, with a Sharpe-ratio of 0,87. READ MORE