Essays about: "Statistical Arbitrage"

Showing result 11 - 15 of 21 essays containing the words Statistical Arbitrage.

  1. 11. ARMA and GARCH models for silver, nickel and copper price returns

    University essay from Lunds universitet/Statistiska institutionen

    Author : Mats Hansson; Ola Andersson; Olle Holmberg; [2015]
    Keywords : ARMA; GARCH; MASE; sMAPE; Heteroscedasticity; Stationarity; Ljung-Box test; McLeod-Li test; Running Standard Deviation; Forecast value.; Mathematics and Statistics;

    Abstract : This thesis compares Auto Regressive Moving Average (ARMA) and Generalized Auto Regressive Conditional Heteroscedacity (GARCH) models for three metal commodities. ARMA models have an unconditionally non-random and constant variance, which typically serves well in effectively representing homoscedastic data. READ MORE

  3. 12. An Empirical Assessment of Statistical Arbitrage : A Cointegrated Pairs Trading Approach

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dennis Loodh; Daniel Carlsson; [2015]
    Keywords : Market neutrality; cointegration; pairs trading; mean-reversion;

    Abstract : This paper assesses the aspect of market neutrality for a pairs trading strategy built on cointegration. This was conducted by evaluating the strategy?s performance during a negative market environment, 2007-06-01 to 2008-12-30, and a positive market environment, 2013-05-31 to 2014-12-30, for the stocks listed in the OMXS30 index. READ MORE

  4. 13. Pairs Trading in European Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Bill Sawarell; Can Inci; [2014]
    Keywords : Pairs trading; Convergence trading; Statistical arbitrage; Distance method; Alpha;

    Abstract : In this paper we use a known pairs trading strategy and examine its performance in three separate European equity markets using daily data over the 20-year period between January 1994 and December 2013. We find that the strategy produces positive average excess returns in all three markets, and that alphas are significantly positive both when controlling for market exposure using the CAPM and when controlling for exposure to the European Fama-French factors. READ MORE

  5. 14. On Statistical Arbitrage: Cointegration and Vector Error-Correction in the Energy Sector

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Oscar Nilsson; Emmanuel Latim Okumu; [2014]
    Keywords : Mean-reversion; VAR; VECM; Impulse Response; Cointegration;

    Abstract : This paper provides methods to select pairs potentially profitable within the frame of statistical arbitrage. We employ a cointegration approach on pairwise combinations of five large energy companies listed on the New York Stock Exchange for the period 27th September 2012 to 22nd April 2014. READ MORE

  6. 15. Barely Legal; Highly profitable

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Erik Flood Bolneset; Daniel Storm; [2013-07-01]
    Keywords : Sin stocks; portfolio performance; unethical investments; alpha;

    Abstract : In the world of finance, companies are assessed, in theory, by expected risk and return based on fundamental valuation techniques. In this study we show that fundamentals are being suppressed around the world by social norms and moral standards. READ MORE