Please use this identifier to cite or link to this item:
Title: Evaluation of copula based pair-trading with bootstrap simulation
Authors: Pan, Jiacheng
Issue Date: 2014
Source: Pan, J. (2014, March). Evaluation of copula based pair-trading with bootstrap simulation. Presented at Discover URECA @ NTU poster exhibition and competition, Nanyang Technological University, Singapore.
Abstract: Pair trading involves trading two securities with similar trend by different trading positions when their prices diverge. The mean-reverting property thus guarantees profits for the investors. Distance method uses correlation coefficient to evaluate the dependency between securities, which makes sense only when the data are normally distributed. However, most financial assets are not normally distributed but skewed with heavier tails. [Peer Assessment Review]
Rights: © 2014 The Author(s).
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:URECA Posters

Files in This Item:
File Description SizeFormat 
NBS13019.pdf311.47 kBAdobe PDFThumbnail

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.