Statistical arbitrage in South African financial markets

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dc.contributor.authorGovender, Kieranen_ZA
dc.date.accessioned2015-01-15T18:36:24Z
dc.date.available2015-01-15T18:36:24Z
dc.date.issued2011en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographic references (leaves 34-35).en_ZA
dc.description.abstractEngle 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...en_ZA
dc.identifier.apacitationGovender, K. (2011). <i>Statistical arbitrage in South African financial markets</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/12241en_ZA
dc.identifier.chicagocitationGovender, Kieran. <i>"Statistical arbitrage in South African financial markets."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2011. http://hdl.handle.net/11427/12241en_ZA
dc.identifier.citationGovender, K. 2011. Statistical arbitrage in South African financial markets. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Govender, Kieran AB - 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... DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Statistical arbitrage in South African financial markets TI - Statistical arbitrage in South African financial markets UR - http://hdl.handle.net/11427/12241 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12241
dc.identifier.vancouvercitationGovender K. Statistical arbitrage in South African financial markets. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12241en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleStatistical arbitrage in South African financial marketsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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