Algorithmic pairs trading in the foreign exchange market
碩士 === 國立政治大學 === 財務管理研究所 === 104 === We implement the arbitrage strategies, Pair trading in the foreign exchange markets. Utilizing daily data from Jan. 2000 to Apr. 2014, our strategies generate Sharp ratios as high as 0.22. Based on the market neutrality and hedging characteristic in long-short i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15112371603589239215 |