Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/84104
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dc.contributor.authorLau, Chzee Anen
dc.date.accessioned2016-11-01T09:09:03Zen
dc.date.accessioned2019-12-06T15:38:25Z-
dc.date.available2016-11-01T09:09:03Zen
dc.date.available2019-12-06T15:38:25Z-
dc.date.issued2016en
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
dc.identifier.urihttps://hdl.handle.net/10356/84104-
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
dc.language.isoenen
dc.rights© 2016 The Author(s).en
dc.subjectPairs Tradingen
dc.subjectCopulaen
dc.titleMulti-Dimensional Pairs Trading Using Bernstein Copulaen
dc.typeStudent Research Posteren
dc.contributor.supervisorWu Yuanen
dc.contributor.schoolNanyang Business Schoolen
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