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 |