Predicted cointegration pairs trading profits based on Monte Carlo method
碩士 === 國立成功大學 === 統計學系 === 104 === The aim of this study is to predict cointegration pairs trading profits. Cointegration pairs trading is a statistical arbitrage strategy. And the profits are due to the mean reverting property of cointegration error. In this study, we adopt Monte Carlo method to pr...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/5a3vkw |