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Pairs Trading in Swedish Investment Companies

Dettwiler, Pascal LU and Larsson, Edvin LU (2019) NEKN02 20191
Department 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.
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author
Dettwiler, Pascal LU and Larsson, Edvin LU
supervisor
organization
course
NEKN02 20191
year
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}},
}