COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES
Pairs trading is one of the stock investment strategies. This strategy uses two highly correlated stocks. A high correlation value indicates that both stocks tend to move together and have a long-term balance. In this final project, the amount of risk in the pairs trading strategy will be determined...
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id-itb.:423872019-09-19T10:44:01Z COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES Hans, Benedictus Indonesia Final Project Pairs trading, Copula, Mispricing Index, Cointegration INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/42387 Pairs trading is one of the stock investment strategies. This strategy uses two highly correlated stocks. A high correlation value indicates that both stocks tend to move together and have a long-term balance. In this final project, the amount of risk in the pairs trading strategy will be determined by the copula method. First, we will find a pair of cointegration and high correlated stock prices. Furthermore, it will be simulated for 5 years, as many as a thousand times the pair shares are cointegrated, correlated accordingly, and still inherit as much as possible the nature of the pair of shares previously obtained. And lastly, ther will be a copula method in pairs trading on each simulation result and calculate the VaR value and the total profit from each simulation result. text |
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Pairs trading is one of the stock investment strategies. This strategy uses two highly correlated stocks. A high correlation value indicates that both stocks tend to move together and have a long-term balance. In this final project, the amount of risk in the pairs trading strategy will be determined by the copula method. First, we will find a pair of cointegration and high correlated stock prices. Furthermore, it will be simulated for 5 years, as many as a thousand times the pair shares are cointegrated, correlated accordingly, and still inherit as much as possible the nature of the pair of shares previously obtained. And lastly, ther will be a copula method in pairs trading on each simulation result and calculate the VaR value and the total profit from each simulation result. |
| format |
Final Project |
| author |
Hans, Benedictus |
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Hans, Benedictus COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES |
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Hans, Benedictus |
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Hans, Benedictus |
| title |
COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES |
| title_short |
COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES |
| title_full |
COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES |
| title_fullStr |
COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES |
| title_full_unstemmed |
COPULA METHOD IN PAIRS TRADING WITH SIMULATION OF COINTEGRATIED SERIES |
| title_sort |
copula method in pairs trading with simulation of cointegratied series |
| url |
https://digilib.itb.ac.id/gdl/view/42387 |
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