Evaluation of copula based pair-trading with bootstrap simulation

Pair trading involves trading two securities with similar trend by different trading positions when their prices diverge. The mean-reverting property thus guarantees profits for the investors. Distance method uses correlation coefficient to evaluate the dependency between securities, which makes sen...

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Bibliographic Details
Main Author: Pan, Jiacheng
Other Authors: Wu Yuan
Format: Student Research Poster
Language:English
Published: 2014
Online Access:https://hdl.handle.net/10356/102291
http://hdl.handle.net/10220/24244
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Institution: Nanyang Technological University
Language: English