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https://hdl.handle.net/10356/84104| Title: | Multi-Dimensional Pairs Trading Using Bernstein Copula | Authors: | Lau, Chzee An | Keywords: | Pairs Trading Copula |
Issue Date: | 2016 | Source: | Lau, C. A. (2016, March). Multi-Dimensional Pairs Trading Using Bernstein Copula. Presented at Discover URECA @ NTU poster exhibition and competition, Nanyang Technological University, Singapore. | Abstract: | Pairs 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] | URI: | https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 |
Schools: | Nanyang Business School | Rights: | © 2016 The Author(s). | Fulltext Permission: | open | Fulltext Availability: | With Fulltext |
| Appears in Collections: | URECA Posters |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS15002.pdf | 613.18 kB | Adobe PDF |  View/Open |
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