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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
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/81118


    Title: Algorithmic pairs trading in the foreign exchange market
    Authors: 羅嘉言
    Lo, Jia Yan
    Contributors: 張元晨
    Chang, Yuan chen
    羅嘉言
    Lo, Jia Yan
    Keywords: 配對交易
    外匯
    演算法
    Pairs trading
    Foreign exchange
    Algorithm
    Date: 2016
    Issue Date: 2016-02-03 11:17:59 (UTC+8)
    Abstract: 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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    Description: 碩士
    國立政治大學
    財務管理研究所
    101357033
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1013570331
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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