Includes abstract. / Includes bibliographic references (leaves 34-35). / Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. The strategy is implemented with an algorithmic trading setup that models the spread in a state-space form...
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/12241 |
| Date | January 2011 |
| Creators | Govender, Kieran |
| Publisher | University of Cape Town, Faculty of Commerce, School of Economics |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MCom |
| Format | application/pdf |
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