Browsing NHH Brage by Author "Hoel, Christoffer Haakon"
Now showing items 1-1 of 1
-
Statistical arbitrage pairs : can cointegration capture market neutral profits?
Hoel, Christoffer Haakon (Master thesis, 2013)We back-test a statistical arbitrage strategy, pairs trading, over the ten year period 01.01.2003 – 31.12.2012 at the Oslo Stock Exchange. We construct an unbiased dataset, where stocks are matched into pairs using a ...