Pair trading rule with switching regression GARCH model

© Springer International Publishing AG 2016. Pairs trading strategy is a famous strategy and commonly taken by many investors. There are various approaches to define the pairs trading signal which is the important part of the strategy. This study aims to propose an alternative approach, Markov Switc...

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Main Authors:	Kongliang Zhu, Woraphon Yamaka, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006070940&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55563
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-55563
record_format	dspace
spelling	th-cmuir.6653943832-555632018-09-05T03:06:42Z Pair trading rule with switching regression GARCH model Kongliang Zhu Woraphon Yamaka Songsak Sriboonchitta Computer Science Mathematics © Springer International Publishing AG 2016. Pairs trading strategy is a famous strategy and commonly taken by many investors. There are various approaches to define the pairs trading signal which is the important part of the strategy. This study aims to propose an alternative approach, Markov Switching Regression GARCH model, to specify the trading signal for stock pair taking into account the structural change in the pair return. We applied our proposed model to the Stock Exchange of Thailand and the result shows our pairs trading strategy is relatively more effective for financial investment management compared with the single mean return from individual stock method. 2018-09-05T02:57:55Z 2018-09-05T02:57:55Z 2016-01-01 Book Series 16113349 03029743 2-s2.0-85006070940 10.1007/978-3-319-49046-5_50 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006070940&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55563
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science Mathematics
spellingShingle	Computer Science Mathematics Kongliang Zhu Woraphon Yamaka Songsak Sriboonchitta Pair trading rule with switching regression GARCH model
description	© Springer International Publishing AG 2016. Pairs trading strategy is a famous strategy and commonly taken by many investors. There are various approaches to define the pairs trading signal which is the important part of the strategy. This study aims to propose an alternative approach, Markov Switching Regression GARCH model, to specify the trading signal for stock pair taking into account the structural change in the pair return. We applied our proposed model to the Stock Exchange of Thailand and the result shows our pairs trading strategy is relatively more effective for financial investment management compared with the single mean return from individual stock method.
format	Book Series
author	Kongliang Zhu Woraphon Yamaka Songsak Sriboonchitta
author_facet	Kongliang Zhu Woraphon Yamaka Songsak Sriboonchitta
author_sort	Kongliang Zhu
title	Pair trading rule with switching regression GARCH model
title_short	Pair trading rule with switching regression GARCH model
title_full	Pair trading rule with switching regression GARCH model
title_fullStr	Pair trading rule with switching regression GARCH model
title_full_unstemmed	Pair trading rule with switching regression GARCH model
title_sort	pair trading rule with switching regression garch model
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006070940&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55563
_version_	1681424529166958592

Pair trading rule with switching regression GARCH model

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