PAIRS TRADING WITH COPULA METHOD
Pairs trading is a stock investment strategy. This strategy use two high correlated stocks. High correlation indicates that the two stocks move together and have long- run equilibrium. In this research, we will use copula method to determine when the two stocks deviate from their equilibrium. The p...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/25770 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |