Pairs trading is a popular trading strategy that on using information of two or more stocks and
the formulation of trading signals based on mean-reversion arguments. This project would use
statistical methods to construct and assess pairs trading rules for a selected group of assets.
Examples of possible pairs include similar companies (e.g. Coca Cola and Pepsi) similar
commodities (e.g. Brent Crude and WTI) or even similar bonds. This project should probably
involve assessing a selection of pairs
Gatev, Evan, Goetzmann, William N. and Rouwenhorst, K. Geert, "Pairs Trading: Performance
of a Relative Value Arbitrage Rule" (February 2006). Yale ICF Working Paper No. 08-03
Chen, Huafeng (Jason) and Chen, Shaojun Jenny and Li, Feng, Empirical Investigation of an
Equity Pairs Trading Strategy (September 27, 2012). Available at SSRN:
http://ssrn.com/abstract= 1361293 or http://dx.doi.org/10.2139/ ssrn.1361293
Do, Binh Huu and Faff, Robert W., Does Simple Pairs Trading Still Work? (July 1, 2010).
Financial Analysts Journal, Vol. 66, No. 4, pp. 83-95, 2010.
http://www.jstor.org/stable/ 25741293?seq=1#page_scan_tab_ contents
Perlin, Marcelo Scherer, "M of a Kind: A Multivariate Approach at Pairs Trading" (December
DATA SOURCE: Macrobond, CRSP
i need someone to write the statistical analysis part of pairs trading. the writer must be aware of the eviews, excel and finance- statistical related theories.
this is the proposed topic i.e. Pair Trading. i need someone to write the statistical analysis part of this dissertation. statistical analysis part should be divided into two parts. 1) research methodology and data description (1000 words) 2) finding and analysis (2000 words)
As pair trading is divided into two parts formation period and trading period, the dissertation should cover an appropriate methodology for selecting stocks. you cant randomly select stocks for the analysis you need a clear cut strategy for instance coinntegeration, distance approach etc are few. you need to select one out of it.
moreover, i dont need 2 3 pairs i need more pairs for the analysis.
26 august is the final deadline. pm me with code 20008
i have attached a sample. deadline in 26 august