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https://hdl.handle.net/10356/102291| 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] | URI: | https://hdl.handle.net/10356/102291 http://hdl.handle.net/10220/24244 |
Schools: | Nanyang Business School | Rights: | © 2014 The Author(s). | Fulltext Permission: | open | Fulltext Availability: | With Fulltext |
| Appears in Collections: | URECA Posters |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS13019.pdf | 311.47 kB | Adobe PDF |  View/Open |
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