Sökning: "Pairs Trading"

Visar resultat 11 - 15 av 40 uppsatser innehållade orden Pairs Trading.

  1. 11. Utilizing short-term noise in non-efficient markets by paired assets : -Introducing the Technical AMH trader

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Love Westin; [2019]
    Nyckelord :;

    Sammanfattning : In this paper, we present an algorithmic implementation of a pairs trading strategy on the OMXS during the years from 2010 until 2018. In our case, the trading algorithm is based on the Adaptive Market Hypothesis (AMH) theory. Hence, the algorithm scans the market for temporary inefficient behaviour, as defined by AMH. LÄS MER

  3. 12. Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Mikael Jurvelin Olsson; Andreas Hild; [2019]
    Nyckelord :Cointegration; Statistical arbitrage; Cryptocurrency; Pairs trading; Algorithmic trading;

    Sammanfattning : This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. LÄS MER

  4. 13. Political Trade : A study of the relationship between bilateral trade flows and regime type

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Lina Björkman; Maria Ullgren; [2018]
    Nyckelord :Trade; Regime type; Gravity model; Democracy;

    Sammanfattning : In this study we examine how bilateral trade flows are affected by regime type. Previous research with the aim to investigate the effect of regime type on bilateral trade has primarily used a binary definition of democracy, and findings have indicated that democracies trade more extensively with other democracies. LÄS MER

  5. 14. Trading algorithms for high-frequency currency trading

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Shahab Garoosi; [2018]
    Nyckelord :;

    Sammanfattning : This thesis uses modern portfolio theory together with machine learning techniques to generate stable portfolio returns over eleven currency pairs with spreads included. The backtests show that support vector machine predicted future returns better than neural network and linear regression. LÄS MER

  7. 15. Statistical Arbitrage Using Cross-Market Pairs Trading

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Erik Boltenstål; [2018]
    Nyckelord :Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

    Sammanfattning : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. LÄS MER