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Thesis Schmidt PDF

130 Pages·2011·English
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by ['Xuan Yue']| 2011| 130 pages| English

About Thesis Schmidt

This study uses the Johansen test for cointegration to select trading pairs for use within a pairs trading framework. A long-run equilibrium price relationship is then estimated for the selected trading pairs. The results are compared to a standard cointegration approach.

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Author:['Xuan Yue']
Publication Year:2011
Pages:130
Language:English
Format:PDF
Price:FREE
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