Application of statistical methods and genetic programming in pair trading

• 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
• Institution: Nanyang Technological University

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 ...