Application of statistical methods and genetic programming in pair trading

Application of statistical methods and genetic programming in pair trading

Pair trading is a form of Statistical Arbitrage that exploits deviation of the expected price relationship between two similar assets. Based on Mean-Reversion principle, difference of price between 2 assets that statistically exhibit price relationship would revert back to the expected value in ...

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Bibliographic Details
Main Author: Tjoa Justin.
Other Authors: Ong Yew Soon
Format: Final Year Project
Language:English
Published: 2010
Subjects:
DRNTU::Engineering::Computer science and engineering::Computing methodologies::Artificial intelligence
Online Access:http://hdl.handle.net/10356/39963
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Institution: Nanyang Technological University
Language: English

Internet

http://hdl.handle.net/10356/39963

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