An Empirical Assessment of Statistical Arbitrage: A Cointegrated Pairs Trading Approach
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This paper assesses the aspect of market neutrality for a pairs trading strategy built on cointegration. This was conducted by evaluating the strategy?s performance during a negative market environment, 2007-06-01 to 2008-12-30, and a positive market environment, 2013-05-31 to 2014-12-30, for the stocks listed in the OMXS30 index. The results indicate market neutrality and that profitability of pairs trading is higher in prolonged periods of turbulence.
Place, publisher, year, edition, pages
2015. , 33 p.
Market neutrality, cointegration, pairs trading, mean-reversion
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-254234OAI: oai:DiVA.org:uu-254234DiVA: diva2:817649
Subject / course