Essays about: "Jakob Höllerbauer"
Found 1 essay containing the words Jakob Höllerbauer.
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1. On Pairs Trading : A Comparison between Cointegration and Correlation as Selection-criteria
University essay from Uppsala universitet/Statistiska institutionenAbstract : 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
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