Essays about: "statistical arbitrage"

Showing result 1 - 5 of 21 essays containing the words statistical arbitrage.

1. 1. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : André Aho; Simon Löw; [2022]
   Keywords : Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

   Abstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE

3. 2. Can pairs trading be used during a financial crisis?

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Axel Eurenius Larsson; Vincent Karlberg Hauge; [2020]
   Keywords : Pairs trading; Cointegration; Stationarity; Market neutrality; Financial crises; Statistical arbitrage.;

   Abstract : In this paper, it is investigated whether pairs trading is a suitable trading strategy during a financial crisis. It is written in the subject of financial statistics and aims to particularly focus on the statistical aspects of the strategy. READ MORE

4. 3. Modelling Seasonalities of HPFCs Using a Parametric Approach

   University essay from Lunds universitet/Matematisk statistik

   Author : Reza Rastegar; Lucas Svantesson; [2019]
   Keywords : Power Markets; Hourly Price Forward Curves; Seasonality; Electricity Spot Price; Mathematics and Statistics;

   Abstract : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). READ MORE

5. 4. Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mikael Jurvelin Olsson; Andreas Hild; [2019]
   Keywords : Cointegration; Statistical arbitrage; Cryptocurrency; Pairs trading; Algorithmic trading;

   Abstract : This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. READ MORE

6. 5. Statistical Arbitrage Using Cross-Market Pairs Trading

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erik Boltenstål; [2018]
   Keywords : Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

   Abstract : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. READ MORE