Multi-Dimensional Pairs Trading Using Bernstein Copula
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 distanc...
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| Other Authors: | |
| Format: | Student Research Poster |
| Language: | English |
| Published: |
2016
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| Online Access: | https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 |
| _version_ | 1811691331880222720 |
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| author | Lau, Chzee An |
| author2 | Wu Yuan |
| author_facet | Wu Yuan Lau, Chzee An |
| author_sort | Lau, Chzee An |
| collection | NTU |
| description | 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] |
| first_indexed | 2024-10-01T06:18:12Z |
| format | Student Research Poster |
| id | ntu-10356/84104 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:18:12Z |
| publishDate | 2016 |
| record_format | dspace |
| spelling | ntu-10356/841042023-05-19T06:44:43Z Multi-Dimensional Pairs Trading Using Bernstein Copula Lau, Chzee An Wu Yuan Nanyang Business School Pairs Trading Copula 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] 2016-11-01T09:09:03Z 2019-12-06T15:38:25Z 2016-11-01T09:09:03Z 2019-12-06T15:38:25Z 2016 Student Research Poster 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. https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 en © 2016 The Author(s). application/pdf |
| spellingShingle | Pairs Trading Copula Lau, Chzee An Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title | Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_full | Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_fullStr | Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_full_unstemmed | Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_short | Multi-Dimensional Pairs Trading Using Bernstein Copula |
| title_sort | multi dimensional pairs trading using bernstein copula |
| topic | Pairs Trading Copula |
| url | https://hdl.handle.net/10356/84104 http://hdl.handle.net/10220/41602 |
| work_keys_str_mv | AT lauchzeean multidimensionalpairstradingusingbernsteincopula |