The effectiveness of pairs trading strategy in light of market volatility

Bibliographic Details
Main Author: Domingues, Nuno Ramos Da Fonseca
Publication Date: 2021
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/133363
Summary: This paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility lead to significant higher gains caused by a widening of the spreads while decreasing regimes of volatility lead to high trading frequencies. For situations where we focus on this two different regimes, the enhanced strategy outperforms the basic pairs trading strategy on a risk-reward basis with higher sharpe ratios.
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spelling The effectiveness of pairs trading strategy in light of market volatilityPairs tradingCorrelationStatistical arbitrageFinancial crisisVolatilityDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility lead to significant higher gains caused by a widening of the spreads while decreasing regimes of volatility lead to high trading frequencies. For situations where we focus on this two different regimes, the enhanced strategy outperforms the basic pairs trading strategy on a risk-reward basis with higher sharpe ratios.Prado, MelissaRUNDomingues, Nuno Ramos Da Fonseca2024-05-21T00:30:51Z2021-06-292021-05-212021-06-29T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/133363TID:202769747enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-22T17:59:40Zoai:run.unl.pt:10362/133363Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T17:30:40.646701Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv The effectiveness of pairs trading strategy in light of market volatility
title The effectiveness of pairs trading strategy in light of market volatility
spellingShingle The effectiveness of pairs trading strategy in light of market volatility
Domingues, Nuno Ramos Da Fonseca
Pairs trading
Correlation
Statistical arbitrage
Financial crisis
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The effectiveness of pairs trading strategy in light of market volatility
title_full The effectiveness of pairs trading strategy in light of market volatility
title_fullStr The effectiveness of pairs trading strategy in light of market volatility
title_full_unstemmed The effectiveness of pairs trading strategy in light of market volatility
title_sort The effectiveness of pairs trading strategy in light of market volatility
author Domingues, Nuno Ramos Da Fonseca
author_facet Domingues, Nuno Ramos Da Fonseca
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Domingues, Nuno Ramos Da Fonseca
dc.subject.por.fl_str_mv Pairs trading
Correlation
Statistical arbitrage
Financial crisis
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Pairs trading
Correlation
Statistical arbitrage
Financial crisis
Volatility
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility lead to significant higher gains caused by a widening of the spreads while decreasing regimes of volatility lead to high trading frequencies. For situations where we focus on this two different regimes, the enhanced strategy outperforms the basic pairs trading strategy on a risk-reward basis with higher sharpe ratios.
publishDate 2021
dc.date.none.fl_str_mv 2021-06-29
2021-05-21
2021-06-29T00:00:00Z
2024-05-21T00:30:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/133363
TID:202769747
url http://hdl.handle.net/10362/133363
identifier_str_mv TID:202769747
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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