구조적 변화 감지 과정이 포함된 페어트레이딩 알고리즘의 성과분석Performance of Pairs Trading Algorithm with the Implementation of Structural Changes Detection Procedure

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 419
  • Download : 0
This paper aims to implement "structural changes detection procedure" in pairs trading algorithm and to show that the proposed approach outperforms the extant pair trading algorithm.Structural changes in pairs trading are defined in terms of changes in cointegrating factors and broken cointegration relationship. These changes are designed to test extant structural changes and unit root test methodologies. The simulation finds that expanding the changes in structure, increasing the mean reverting process of spread, and extending the consecutive days of broken cointegration will increase the performances of the proposed algorithm. Empirical study results are also consistent those ofthe simulation studies. The proposed algorithm outperforms the extant algorithm relative to risk and return given that the cumulative profit/loss has a significant upward-slope with minimal variance.
Publisher
한국경영과학회
Issue Date
2017-08
Language
Korean
Keywords

Pairs Trading; Cointegration; Structural Changes Test; Unit Root Test

Citation

한국경영과학회지, v.42, no.3, pp.13 - 24

ISSN
1225-1119
DOI
10.7737/JKORMS.2017.42.3.013
URI
http://hdl.handle.net/10203/241238
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0