The effectiveness of pairs trading strategy in light of market volatility
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/133363 |
Resumo: | This paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility lead to significant higher gains caused by a widening of the spreads while decreasing regimes of volatility lead to high trading frequencies. For situations where we focus on this two different regimes, the enhanced strategy outperforms the basic pairs trading strategy on a risk-reward basis with higher sharpe ratios. |
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The effectiveness of pairs trading strategy in light of market volatilityPairs tradingCorrelationStatistical arbitrageFinancial crisisVolatilityDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility lead to significant higher gains caused by a widening of the spreads while decreasing regimes of volatility lead to high trading frequencies. For situations where we focus on this two different regimes, the enhanced strategy outperforms the basic pairs trading strategy on a risk-reward basis with higher sharpe ratios.Prado, MelissaRUNDomingues, Nuno Ramos Da Fonseca2021-06-292021-05-212024-05-21T00:00:00Z2021-06-29T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/133363TID:202769747enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:12:00Zoai:run.unl.pt:10362/133363Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:47:46.614987Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The effectiveness of pairs trading strategy in light of market volatility |
title |
The effectiveness of pairs trading strategy in light of market volatility |
spellingShingle |
The effectiveness of pairs trading strategy in light of market volatility Domingues, Nuno Ramos Da Fonseca Pairs trading Correlation Statistical arbitrage Financial crisis Volatility Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The effectiveness of pairs trading strategy in light of market volatility |
title_full |
The effectiveness of pairs trading strategy in light of market volatility |
title_fullStr |
The effectiveness of pairs trading strategy in light of market volatility |
title_full_unstemmed |
The effectiveness of pairs trading strategy in light of market volatility |
title_sort |
The effectiveness of pairs trading strategy in light of market volatility |
author |
Domingues, Nuno Ramos Da Fonseca |
author_facet |
Domingues, Nuno Ramos Da Fonseca |
author_role |
author |
dc.contributor.none.fl_str_mv |
Prado, Melissa RUN |
dc.contributor.author.fl_str_mv |
Domingues, Nuno Ramos Da Fonseca |
dc.subject.por.fl_str_mv |
Pairs trading Correlation Statistical arbitrage Financial crisis Volatility Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Pairs trading Correlation Statistical arbitrage Financial crisis Volatility Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility lead to significant higher gains caused by a widening of the spreads while decreasing regimes of volatility lead to high trading frequencies. For situations where we focus on this two different regimes, the enhanced strategy outperforms the basic pairs trading strategy on a risk-reward basis with higher sharpe ratios. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-06-29 2021-05-21 2021-06-29T00:00:00Z 2024-05-21T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/133363 TID:202769747 |
url |
http://hdl.handle.net/10362/133363 |
identifier_str_mv |
TID:202769747 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799138080194560000 |