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 |
| Published: |
2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 |
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| Institution: | Nanyang Technological University |
| Language: | English |