Sökning: "Pairs-trading"

Visar resultat 1 - 5 av 24 uppsatser innehållade ordet Pairs-trading.

  1. 1. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :André Aho; Simon Löw; [2022]
    Nyckelord :Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

    Sammanfattning : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. LÄS MER

  3. 2. Can pairs trading be used during a financial crisis?

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Axel Eurenius Larsson; Vincent Karlberg Hauge; [2020]
    Nyckelord :Pairs trading; Cointegration; Stationarity; Market neutrality; Financial crises; Statistical arbitrage.;

    Sammanfattning : In this paper, it is investigated whether pairs trading is a suitable trading strategy during a financial crisis. It is written in the subject of financial statistics and aims to particularly focus on the statistical aspects of the strategy. LÄS MER

  4. 3. Mathematical aspects of Pairs Trading

    Master-uppsats, Uppsala universitet/Tillämpad matematik och statistik

    Författare :Georgios Orfanidis; [2020]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  5. 4. Pairs Trading in Swedish Investment Companies

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Pascal Dettwiler; Edvin Larsson; [2019]
    Nyckelord :Pairs trading; Investment Company; Traded at Discount; Bollinger Bands; Moving Average; Trading Strategy; Algorithmic Trading; Algo trading; Business and Economics;

    Sammanfattning : The purpose of this paper is to examine if it is possible to profitably implement a market neutral trading strategy, so-called "pairs trading", on three different Swedish investment companies. It can be concluded that applying a pairs trading strategy on [these three] Swedish investment companies and their underlying listed assets has the potential to beat the market Sharpe ratio. LÄS MER

  7. 5. 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