Pairs Trading in Swedish Investment Companies
(2019) NEKN02 20191Department of Economics
- Abstract (Swedish)
- The purpose of this paper is to examine if it is possible to profitably implement a market neutral trading strategy, so-called "pairs trading", on three different Swedish investment companies. It can be concluded that applying a pairs trading strategy on [these three] Swedish investment companies and their underlying listed assets has the potential to beat the market Sharpe ratio. However, the profitability varies and depends on the parameter settings, and on which company the trading strategy is applied to.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8983901
- author
- Dettwiler, Pascal LU and Larsson, Edvin LU
- supervisor
- organization
- course
- NEKN02 20191
- year
- 2019
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Pairs trading, Investment Company, Traded at Discount, Bollinger Bands, Moving Average, Trading Strategy, Algorithmic Trading, Algo trading
- language
- English
- id
- 8983901
- date added to LUP
- 2019-08-08 10:30:02
- date last changed
- 2019-08-08 10:30:02
@misc{8983901, abstract = {{The purpose of this paper is to examine if it is possible to profitably implement a market neutral trading strategy, so-called "pairs trading", on three different Swedish investment companies. It can be concluded that applying a pairs trading strategy on [these three] Swedish investment companies and their underlying listed assets has the potential to beat the market Sharpe ratio. However, the profitability varies and depends on the parameter settings, and on which company the trading strategy is applied to.}}, author = {{Dettwiler, Pascal and Larsson, Edvin}}, language = {{eng}}, note = {{Student Paper}}, title = {{Pairs Trading in Swedish Investment Companies}}, year = {{2019}}, }