Evaluation Of A Cointegration-Based Pairs Trading Strategy
Pairs trading is a strategy that takes advantage of the temporary mispricing of two assets with a long-run equilibrium. When the assets diverge, the relatively undervalued asset is bought and the relatively overvalued asset is sold. Because profits don't depend on the movement of the market, th...
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| Format: | Theses and Dissertations NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| Online Access: | https://repository.ugm.ac.id/121454/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=61541 |
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| Institution: | Universitas Gadjah Mada |