The use of copulas in spread trading

Spread trading is the simultaneous sale of one security and the purchase of a related security. One who is involved in spread trading will desire to have an ideal entry point into and exit point out of the market using the technique which is developed based on the dependence of the two securities. I...

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Main Author: Liew, Rong Qi
Other Authors: Wu Yuan
Format: Student Research Poster
Language:English
Published: 2013
Online Access:https://hdl.handle.net/10356/95145
http://hdl.handle.net/10220/9041
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-951452023-05-19T06:44:43Z The use of copulas in spread trading Liew, Rong Qi Wu Yuan Nanyang Business School Spread trading is the simultaneous sale of one security and the purchase of a related security. One who is involved in spread trading will desire to have an ideal entry point into and exit point out of the market using the technique which is developed based on the dependence of the two securities. It is widely acknowledged that stock prices are rarely normally distributed in reality. Yet most people are still using linear correlation as a measure of dependency due to the lack of alternatives. As copula methodology emerge in the recent decade, many suggest copula as an alternative to normality. The use of copulas is essential but relatively new to the spread trading. The copula methodology captures non-linear dependencies, making the model robust and this leads to an outcome that is more superior, and therefore better decision. The objective of this study is to develop an equity trading technique for spread trading by using the emerging copula methodology. [1st Award] 2013-01-31T07:56:59Z 2019-12-06T19:09:09Z 2013-01-31T07:56:59Z 2019-12-06T19:09:09Z 2012 2012 Student Research Poster Liew, R. Q. (2012, March). The use of copulas in spread trading. Presented at Discover URECA @ NTU poster exhibition and competition, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/95145 http://hdl.handle.net/10220/9041 en © 2012 The Author(s). application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
description Spread trading is the simultaneous sale of one security and the purchase of a related security. One who is involved in spread trading will desire to have an ideal entry point into and exit point out of the market using the technique which is developed based on the dependence of the two securities. It is widely acknowledged that stock prices are rarely normally distributed in reality. Yet most people are still using linear correlation as a measure of dependency due to the lack of alternatives. As copula methodology emerge in the recent decade, many suggest copula as an alternative to normality. The use of copulas is essential but relatively new to the spread trading. The copula methodology captures non-linear dependencies, making the model robust and this leads to an outcome that is more superior, and therefore better decision. The objective of this study is to develop an equity trading technique for spread trading by using the emerging copula methodology. [1st Award]
author2 Wu Yuan
author_facet Wu Yuan
Liew, Rong Qi
format Student Research Poster
author Liew, Rong Qi
spellingShingle Liew, Rong Qi
The use of copulas in spread trading
author_sort Liew, Rong Qi
title The use of copulas in spread trading
title_short The use of copulas in spread trading
title_full The use of copulas in spread trading
title_fullStr The use of copulas in spread trading
title_full_unstemmed The use of copulas in spread trading
title_sort use of copulas in spread trading
publishDate 2013
url https://hdl.handle.net/10356/95145
http://hdl.handle.net/10220/9041
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