Pairs trading : strategy refinements
In this paper, we apply the pairs trading strategy, original presented by Nunzio Tartaglia in mid-80´s, for the period between 2004 and 2014, to stocks listed in the London Stock Exchange. Our trading strategy seems to be highly profitable, with an average 6-month excess return of 15.39%. The strate...
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| Format: | masterThesis |
| Language: | eng |
| Published: |
2016
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10400.14/19414 |
| Country: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/19414 |