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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| Format: | Final Year Project |
| Language: | English |
| Published: |
2010
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| Online Access: | http://hdl.handle.net/10356/39963 |
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| Institution: | Nanyang Technological University |
| Language: | English |