Pair trading: Clustering based on principal component analysis
This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there...
| Main Author: | |
|---|---|
| Format: | masterThesis |
| Language: | eng |
| Published: |
2015
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10362/15355 |
| Country: | Portugal |
| Oai: | oai:run.unl.pt:10362/15355 |