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Statistical arbitrage on the FTSE/JSE TOP 40 index / An empirical approach to statistical arbitrage on the FTSE/JSE TOP 40 Index

Submitted as a Requirement of the
Master of Management (Finance and Investment Management)
University of the Witwatersrand Business School
Johannesburg / The mid 2000’s saw the materialization of research into the financial engineering field of high frequency trading. It is arguable that the most prominent model to emerge from the research has been pairs trading. This idea can be extended to allow for more than two assets in a modelling method now known as statistical arbitrage.
The research identifies a collection of assets with a deterministic component; it then follows a multiple linear regression to exploit persistent mispricings among these assets. Further, multiple linear regression metrics are used to identify the analytic form of the trading rule and to validate the performance of the model.
The first part of model constructs combinations of assets which contain a significant predictable component by co-integration, the second part builds a predictive models for the dynamics of the mispricing using statistical model.
The success of the model is demonstrated with reference to a statistical analysis of 5-minute closing prices on the Johannesburg Stock Exchange (JSE) TOP40 Index and the constituent shares of the JSE TOP40 Index. / MT2017

Identiferoai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/23134
Date January 2017
CreatorsNgcobo-Koyana, Mandlenkosi Svato
Source SetsSouth African National ETD Portal
LanguageEnglish
Detected LanguageEnglish
TypeThesis
FormatOnline resource (44 leaves), application/pdf

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