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https://hdl.handle.net/10356/84104
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lau, Chzee An | en |
dc.date.accessioned | 2016-11-01T09:09:03Z | en |
dc.date.accessioned | 2019-12-06T15:38:25Z | - |
dc.date.available | 2016-11-01T09:09:03Z | en |
dc.date.available | 2019-12-06T15:38:25Z | - |
dc.date.issued | 2016 | en |
dc.identifier.citation | 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. | en |
dc.identifier.uri | https://hdl.handle.net/10356/84104 | - |
dc.description.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] | en |
dc.language.iso | en | en |
dc.rights | © 2016 The Author(s). | en |
dc.subject | Pairs Trading | en |
dc.subject | Copula | en |
dc.title | Multi-Dimensional Pairs Trading Using Bernstein Copula | en |
dc.type | Student Research Poster | en |
dc.contributor.supervisor | Wu Yuan | en |
dc.contributor.school | Nanyang Business School | en |
item.fulltext | With Fulltext | - |
item.grantfulltext | open | - |
Appears in Collections: | URECA Posters |
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NBS15002.pdf | 613.18 kB | Adobe PDF | ![]() View/Open |
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