Pairs trading with copula approach in Taiwan
碩士 === 國立中山大學 === 財務管理學系研究所 === 103 === Pairs trading is a popular quantitative investment strategy in the finance industry. Liew and Wu (2013) propose a new approach for pairs trading. This study focuses on how to use a copula function to construct a pairs trading portfolio, including suitable pair...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/p7a48x |