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Swedish Equities: Casanovas or commited Cointegrated partners
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.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis investigates the long-run stability of Cointegrated

pairs in the Swedish Equity Market. Stability is evaluated by

estimating pairs in an in-sample period then rolling the win-

dow forward. A Pairs Trading strategy is then applied to the

estimated pairs and traded out-of-sample. The relationships

are found to diminish over time and most break o. Negative

compound annual growth rates are obtained for the period.

However there are enough lasting cointegrating relationships

for the strategy to be applicable but the returns are highly

dependent on the complexity of the trading rules.

Place, publisher, year, edition, pages
2016. , 34 p.
Keyword [en]
Cointegration, Stability, Mean Reversion, Pairs Trading
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-295814OAI: oai:DiVA.org:uu-295814DiVA: diva2:935007
Subject / course
Statistics
Educational program
Bachelor Programme in Business and Economics
Supervisors
Examiners
Available from: 2016-06-27 Created: 2016-06-09 Last updated: 2016-06-27Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf