Sökning: "Cointegration Error Correction Model Pairs Trading"
Hittade 1 uppsats innehållade orden Cointegration Error Correction Model Pairs Trading.
1. Pairs Trading: an Extension to the CointegrationApproach : Can a cointegration approach based on low frequency data trading still beatthe market in contemporary years?
Kandidat-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : This paper examines the (in contemporary literature inconclusive) usefulness ofcointegration between stock prices as basis for a trading strategy. The primary contributionto previously used frameworks of the paper is the implementation and use of error correctionmodels for selection of stocks to trade on. LÄS MER
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