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About Master Thesis
This thesis examines the performance of a pairs trading strategy using high frequency intraday data from stocks listed on the Oslo Stock Exchange in Norway. The author first provides background on pairs trading and reviews different theoretical approaches. He then conducts simulations to compare two existing pairs trading methods. Next, the author empirically tests a pairs trading strategy on Norwegian stock data from 2014. The results indicate the strategy generated positive risk-adjusted returns even after accounting for transaction costs and limiting trade execution speed. Specifically, annualized returns were as high as 12% with low standard deviations, yielding an impressive Sharpe ratio above 3. The portfolio was also found to have near-zero exposure to market risk. The findings suggest pairs trading can successfully generate returns superior to
Detailed Information
| Author: | ['WoodWood Lam'] |
|---|---|
| Publication Year: | 2016 |
| Pages: | 78 |
| Language: | English |
| Format: | |
| Price: | FREE |
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