Multi-Dimensional Pairs Trading Using Bernstein Copula
Pairs trading is a statistical arbitrage strategy that involves the simultaneous long/short of 2 relatively mispriced stocks (2 dimensions) which have strong historical co-movements. In 2-dimensional pairs trading, the copula method is proposed to overcome the limitations of the most popular distanc...
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| Format: | Student Research Poster |
| Language: | English |
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2016
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| Online Access: | https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 |
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sg-ntu-dr.10356-841042023-05-19T06:44:43Z Multi-Dimensional Pairs Trading Using Bernstein Copula Lau, Chzee An Wu Yuan Nanyang Business School Pairs Trading Copula Pairs trading is a statistical arbitrage strategy that involves the simultaneous long/short of 2 relatively mispriced stocks (2 dimensions) which have strong historical co-movements. In 2-dimensional pairs trading, the copula method is proposed to overcome the limitations of the most popular distance method. In this research, we propose a multi-dimensional pairs trading framework to overcome the limitation of 2-dimensional pairs trading methods. [1st Award] 2016-11-01T09:09:03Z 2019-12-06T15:38:25Z 2016-11-01T09:09:03Z 2019-12-06T15:38:25Z 2016 Student Research Poster Lau, C. A. (2016, March). Multi-Dimensional Pairs Trading Using Bernstein Copula. Presented at Discover URECA @ NTU poster exhibition and competition, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 en © 2016 The Author(s). application/pdf |
| institution |
Nanyang Technological University |
| building |
NTU Library |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
NTU Library |
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DR-NTU |
| language |
English |
| topic |
Pairs Trading Copula |
| spellingShingle |
Pairs Trading Copula Lau, Chzee An Multi-Dimensional Pairs Trading Using Bernstein Copula |
| description |
Pairs trading is a statistical arbitrage strategy that involves the simultaneous long/short of 2 relatively mispriced stocks (2 dimensions) which have strong historical co-movements. In 2-dimensional pairs trading, the copula method is proposed to overcome the limitations of the most popular distance method. In this research, we propose a multi-dimensional pairs trading framework to overcome the limitation of 2-dimensional pairs trading methods. [1st Award] |
| author2 |
Wu Yuan |
| author_facet |
Wu Yuan Lau, Chzee An |
| format |
Student Research Poster |
| author |
Lau, Chzee An |
| author_sort |
Lau, Chzee An |
| title |
Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_short |
Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_full |
Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_fullStr |
Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_full_unstemmed |
Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_sort |
multi-dimensional pairs trading using bernstein copula |
| publishDate |
2016 |
| url |
https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 |
| _version_ |
1770565960272445440 |