Pairs trading

Zhe Huang, Franck Martin (Autoren)

Buch | Softcover

56 Seiten

2018
Editions Universitaires Europeennes (Verlag)
978-620-2-28819-4 (ISBN)

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Statistical arbitrage is based on pairs trading of mean-reverting returns. We used cointegration approach and ECM-DCC-GARCH to construct 98 pairs of 152 stocks of 3 currencies. Stocks trading is done by Contract for Difference. To measure the performance, we introduced the profit factor which is the annualized return rate per unit risk. And the historical risk is measured by maximum drawdown. We compared three main strategies: percentage, standard deviation of cointegration long term residuals and Bollinger Bands (dynamic standard deviation), with and without double confirmation of short term standard deviation modeled by ECM-DCC-GARCH. Each of the three main strategies is optimized by two optimizers: absolute profit and profit factor. The optimization period goes from 2012-01-01 to 2014-12-31, and validation period is from 2015-01-01 to 2016-06-01. Our results showed that the USD Bollinger Bands strategy without double confirmation and optimized by profit factor, outperformed other strategies and provided the highest annualized return rate per unit risk. 32% of our sample pairs ended up in loss, and 94% of which are explained by a cointegration break during the testing period.

Having a Bachelor degree of IT security and a Master Degree of financial engineering, I am now (Mar 2018) Ph.D. student of market finance. Since March 2007 I have been independent trader, having developed many successful automated trading strategies and applied artificial intellegence in quantitative trading which has generated systematic profits.

Erscheinungsdatum	04.03.2022
Sprache	englisch
Maße	152 x 229 mm
Gewicht	95 g
Themenwelt	Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Familienrecht
	Recht / Steuern ► Allgemeines / Lexika
	Recht / Steuern ► EU / Internationales Recht
Schlagworte	Arbitrage • Back-testing • Bollinger bands • Cointegration • cointégration • Coïntégration • GARCH model • hft • Pairs Trading
ISBN-10	620-2-28819-1 / 6202288191
ISBN-13	978-620-2-28819-4 / 9786202288194
Zustand	Neuware