Application of Kalman Filter to Estimate Dynamic Hedge Ratio in Pairs Trading Strategy: A Case Study of the Automobile Industry
Objective: Pairs trading strategies have been around since the mid-1980s and have gained widespread acceptance in recent years. A pairs trading strategy is one of the forms of statistical arbitrage done to make a profit. It bases on the return related to the average spread between pairs of financial...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2023-03-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_92806_2c471cc3358cb9e9c64b885b08ec6162.pdf |