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Uppsala University

1. Larsson, Axel Eurenius. Can pairs trading be used during a financial crisis?.

Degree: Statistics, 2020, Uppsala University

In this paper, it is investigated whether pairs trading is a suitable trading strategy during a financial crisis. It is written in the subject of financial statistics and aims to particularly focus on the statistical aspects of the strategy. The constituents of the S&P 500 index from the crisis of 2008 are used as empirical evidence for the study. The evaluation is made by comparing the yearly performance of the constructed pairs trading portfolios, to the performance of the S&P 500. The pairs trading methodology that is used is largely based on the statistical concepts of stationarity and cointegration. The tests that are chosen to check for these properties, are the ADF-test and Johansen’s test respectively. In the study it is found that in terms of return, the portfolio outperforms the S&P 500 for all of the years but one. Despite some flaws with regard to the limited extent of the study, it is concluded that the findings suggest pairs trading as profitable during a financial crisis.

Subjects/Keywords: Pairs trading; Cointegration; Stationarity; Market neutrality; Financial crises; Statistical arbitrage.; Probability Theory and Statistics; Sannolikhetsteori och statistik

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Larsson, A. E. (2020). Can pairs trading be used during a financial crisis?. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-403577

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Larsson, Axel Eurenius. “Can pairs trading be used during a financial crisis?.” 2020. Thesis, Uppsala University. Accessed February 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-403577.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Larsson, Axel Eurenius. “Can pairs trading be used during a financial crisis?.” 2020. Web. 28 Feb 2020.

Vancouver:

Larsson AE. Can pairs trading be used during a financial crisis?. [Internet] [Thesis]. Uppsala University; 2020. [cited 2020 Feb 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-403577.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Larsson AE. Can pairs trading be used during a financial crisis?. [Thesis]. Uppsala University; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-403577

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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