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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2014
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sg-ntu-dr.10356-1022912023-05-19T06:44:43Z Evaluation of copula based pair-trading with bootstrap simulation Pan, Jiacheng Wu Yuan Nanyang Business School 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] 2014-11-26T01:36:51Z 2019-12-06T20:52:46Z 2014-11-26T01:36:51Z 2019-12-06T20:52:46Z 2014 2014 Student Research Poster Pan, J. (2014, March). Evaluation of copula based pair-trading with bootstrap simulation. Presented at Discover URECA @ NTU poster exhibition and competition, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/102291 http://hdl.handle.net/10220/24244 en © 2014 The Author(s). application/pdf |
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Singapore Singapore |
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| description |
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] |
| author2 |
Wu Yuan |
| author_facet |
Wu Yuan Pan, Jiacheng |
| format |
Student Research Poster |
| author |
Pan, Jiacheng |
| spellingShingle |
Pan, Jiacheng Evaluation of copula based pair-trading with bootstrap simulation |
| author_sort |
Pan, Jiacheng |
| title |
Evaluation of copula based pair-trading with bootstrap simulation |
| title_short |
Evaluation of copula based pair-trading with bootstrap simulation |
| title_full |
Evaluation of copula based pair-trading with bootstrap simulation |
| title_fullStr |
Evaluation of copula based pair-trading with bootstrap simulation |
| title_full_unstemmed |
Evaluation of copula based pair-trading with bootstrap simulation |
| title_sort |
evaluation of copula based pair-trading with bootstrap simulation |
| publishDate |
2014 |
| url |
https://hdl.handle.net/10356/102291 http://hdl.handle.net/10220/24244 |
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1770565095946977280 |