Sökning: "Eric Qvennerstedt"

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  1. 1. Pairs trading on the Swedish equity market; Cointegrate and Capitalize

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Eric Qvennerstedt; William Svensson; [2018]
    Nyckelord :Cointegration; Dual class shares; Mean Reversion; Pairs Trading; Arbitrage;

    Sammanfattning : This thesis investigates the long- and short- run stability of Cointegrated dual share equity pairs on the Swedish Equity Market. Testing for a cointegrated relationship on each pair are executed for a 13 year period to establish the cointegrated pairs. The stability of each cointegrated pair is then estimated using a rolling two year period. LÄS MER