Statistical arbitrage in South African financial markets

Master Thesis

2011

Permanent link to this Item
http://hdl.handle.net/11427/12241
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thesis_com_2011_govender_k.pdf (1.26 MB)
Authors
Govender, Kieran
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University of Cape Town

Department
School of Economics
Faculty
Faculty of Commerce
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Abstract
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...
Description

Includes abstract.


Includes bibliographic references (leaves 34-35).

Keywords
Financial Mathematics

Reference:

Govender, K. 2011. Statistical arbitrage in South African financial markets. University of Cape Town.

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Masters