1 resultado para AFFECTED SIBLING PAIRS

em RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal


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This paper designs a pairs trading model with the intent to identify existing profitable market opportunities to invest, i.e. traditionally strong correlated stocks that have diverged from its historical norm. It comprises a broad literature review on this strategy whose relevant findings (strategy improvements) are contemplated in the model. The authors combine the statistical results of the model with a backtesting analysis in order to provide guidance on the best investment opportunities.