Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/102291
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dc.contributor.authorPan, Jiachengen
dc.date.accessioned2014-11-26T01:36:51Zen
dc.date.accessioned2019-12-06T20:52:46Z-
dc.date.available2014-11-26T01:36:51Zen
dc.date.available2019-12-06T20:52:46Z-
dc.date.copyright2014en
dc.date.issued2014en
dc.identifier.citationPan, 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.en
dc.identifier.urihttps://hdl.handle.net/10356/102291-
dc.description.abstractPair 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]en
dc.language.isoenen
dc.rights© 2014 The Author(s).en
dc.titleEvaluation of copula based pair-trading with bootstrap simulationen
dc.typeStudent Research Posteren
dc.contributor.supervisorWu Yuanen
dc.contributor.schoolNanyang Business Schoolen
item.grantfulltextopen-
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Appears in Collections:URECA Posters
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