Enhancing and implementing a pairs trading strategy

Detalhes bibliográficos
Autor(a) principal: Almeida, Gustavo Filipe Direitinho Nunes de
Data de Publicação: 2014
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/14650
Resumo: This paper designs a pairs trading model with the intent to identify existing profitable market opportunities to invest, i.e. traditionally strong correlated stocks that have diverged from its historical norm. It comprises a broad literature review on this strategy whose relevant findings (strategy improvements) are contemplated in the model. The authors combine the statistical results of the model with a backtesting analysis in order to provide guidance on the best investment opportunities.
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spelling Enhancing and implementing a pairs trading strategyPairs tradingInvestment modelingStatistical arbitrageThis paper designs a pairs trading model with the intent to identify existing profitable market opportunities to invest, i.e. traditionally strong correlated stocks that have diverged from its historical norm. It comprises a broad literature review on this strategy whose relevant findings (strategy improvements) are contemplated in the model. The authors combine the statistical results of the model with a backtesting analysis in order to provide guidance on the best investment opportunities.NSBE - UNLBoons, MartijnRUNAlmeida, Gustavo Filipe Direitinho Nunes de2015-04-09T08:19:11Z2014-052014-05-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/14650TID:201528363enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:49:53Zoai:run.unl.pt:10362/14650Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:21:59.238415Repositório 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 Enhancing and implementing a pairs trading strategy
title Enhancing and implementing a pairs trading strategy
spellingShingle Enhancing and implementing a pairs trading strategy
Almeida, Gustavo Filipe Direitinho Nunes de
Pairs trading
Investment modeling
Statistical arbitrage
title_short Enhancing and implementing a pairs trading strategy
title_full Enhancing and implementing a pairs trading strategy
title_fullStr Enhancing and implementing a pairs trading strategy
title_full_unstemmed Enhancing and implementing a pairs trading strategy
title_sort Enhancing and implementing a pairs trading strategy
author Almeida, Gustavo Filipe Direitinho Nunes de
author_facet Almeida, Gustavo Filipe Direitinho Nunes de
author_role author
dc.contributor.none.fl_str_mv Boons, Martijn
RUN
dc.contributor.author.fl_str_mv Almeida, Gustavo Filipe Direitinho Nunes de
dc.subject.por.fl_str_mv Pairs trading
Investment modeling
Statistical arbitrage
topic Pairs trading
Investment modeling
Statistical arbitrage
description This paper designs a pairs trading model with the intent to identify existing profitable market opportunities to invest, i.e. traditionally strong correlated stocks that have diverged from its historical norm. It comprises a broad literature review on this strategy whose relevant findings (strategy improvements) are contemplated in the model. The authors combine the statistical results of the model with a backtesting analysis in order to provide guidance on the best investment opportunities.
publishDate 2014
dc.date.none.fl_str_mv 2014-05
2014-05-01T00:00:00Z
2015-04-09T08:19:11Z
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/10362/14650
TID:201528363
url http://hdl.handle.net/10362/14650
identifier_str_mv TID:201528363
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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
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repository.mail.fl_str_mv
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