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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| Format: | Student Research Poster |
| Language: | English |
| Published: |
2014
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| Online Access: | https://hdl.handle.net/10356/102291 http://hdl.handle.net/10220/24244 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | 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 sense only when the data are normally distributed. However, most financial assets are not normally distributed but skewed with heavier tails. [Peer Assessment Review] |
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