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An Empirical Assessment of Statistical Arbitrage: A Cointegrated Pairs Trading Approach
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2015 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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. The results indicate market neutrality and that profitability of pairs trading is higher in prolonged periods of turbulence.

Place, publisher, year, edition, pages
2015. , 33 p.
Keyword [en]
Market neutrality, cointegration, pairs trading, mean-reversion
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-254234OAI: oai:DiVA.org:uu-254234DiVA: diva2:817649
Subject / course
Statistics
Supervisors
Available from: 2015-06-12 Created: 2015-06-05 Last updated: 2015-06-12Bibliographically approved

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fulltext(3069 kB)538 downloads
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CiteExportLink to record
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Citation style
  • apa
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Language
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