Browsing by Author "Govender, Kieran"

Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    Open Access
    Statistical arbitrage in South African financial markets
    (2011) Govender, Kieran
    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...