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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/81118
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    題名: Algorithmic pairs trading in the foreign exchange market
    作者: 羅嘉言
    Lo, Jia Yan
    貢獻者: 張元晨
    Chang, Yuan chen
    羅嘉言
    Lo, Jia Yan
    關鍵詞: 配對交易
    外匯
    演算法
    Pairs trading
    Foreign exchange
    Algorithm
    日期: 2016
    上傳時間: 2016-02-03 11:17:59 (UTC+8)
    摘要: 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 investment, we provide the profitability analysis using four different approaches after considering transaction costs. These approaches consist of match with minimum distance between two normalized prices Distance); estimation of long-term equilibrium and model the resulting residuals (Cointegration); linear and Non-linear relationship between two potential assets (Correlation and Copula). With the result of CAPM test, positive and significant alpha represent our trading strategies is profitable during our sample period. The sources of excess returns reflect difference of liquidity, price pressure while executing trading and the compensation of violation in “Law of One Price"
    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 investment, we provide the profitability analysis using four different approaches after considering transaction costs. These approaches consist of match with minimum distance between two normalized prices Distance); estimation of long-term equilibrium and model the resulting residuals (Cointegration); linear and Non-linear relationship between two potential assets (Correlation and Copula). With the result of CAPM test, positive and significant alpha represent our trading strategies is profitable during our sample period. The sources of excess returns reflect difference of liquidity, price pressure while executing trading and the compensation of violation in “Law of One Price"
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    描述: 碩士
    國立政治大學
    財務管理研究所
    101357033
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1013570331
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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