dc.contributor.authorLau, Chzee An
dc.date.accessioned2016-11-01T09:09:03Z
dc.date.available2016-11-01T09:09:03Z
dc.date.issued2016
dc.identifier.citationLau, C. A. (2016, March). Multi-Dimensional Pairs Trading Using Bernstein Copula. Presented at Discover URECA @ NTU poster exhibition and competition, Nanyang Technological University, Singapore.en_US
dc.identifier.urihttp://hdl.handle.net/10220/41602
dc.description.abstractPairs trading is a statistical arbitrage strategy that involves the simultaneous long/short of 2 relatively mispriced stocks (2 dimensions) which have strong historical co-movements. In 2-dimensional pairs trading, the copula method is proposed to overcome the limitations of the most popular distance method. In this research, we propose a multi-dimensional pairs trading framework to overcome the limitation of 2-dimensional pairs trading methods. [1st Award]en_US
dc.language.isoenen_US
dc.rights© 2016 The Author(s).en_US
dc.subjectPairs Trading
dc.subjectCopula
dc.titleMulti-Dimensional Pairs Trading Using Bernstein Copulaen_US
dc.typeStudent Research Poster
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.contributor.supervisorWu Yuanen_US
dc.description.degreeStudent Research Posteren_US


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