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The use of copulas in spread trading

หน่วยงาน Nanyang Technological University, Singapore

รายละเอียด

ชื่อเรื่อง : The use of copulas in spread trading
นักวิจัย : Liew, Rong Qi
คำค้น : -
หน่วยงาน : Nanyang Technological University, Singapore
ผู้ร่วมงาน : -
ปีพิมพ์ : 2555
อ้างอิง : Liew, R. Q. (2012, March). The use of copulas in spread trading. Presented at Discover URECA @ NTU poster exhibition and competition, Nanyang Technological University, Singapore. , http://hdl.handle.net/10220/9041
ที่มา : -
ความเชี่ยวชาญ : -
ความสัมพันธ์ : -
ขอบเขตของเนื้อหา : -
บทคัดย่อ/คำอธิบาย :

Spread trading is the simultaneous sale of one security and the purchase of a related security. One who is involved in spread trading will desire to have an ideal entry point into and exit point out of the market using the technique which is developed based on the dependence of the two securities. It is widely acknowledged that stock prices are rarely normally distributed in reality. Yet most people are still using linear correlation as a measure of dependency due to the lack of alternatives. As copula methodology emerge in the recent decade, many suggest copula as an alternative to normality. The use of copulas is essential but relatively new to the spread trading. The copula methodology captures non-linear dependencies, making the model robust and this leads to an outcome that is more superior, and therefore better decision. The objective of this study is to develop an equity trading technique for spread trading by using the emerging copula methodology. [1st Awards]

บรรณานุกรม :
Liew, Rong Qi . (2555). The use of copulas in spread trading.
    กรุงเทพมหานคร : Nanyang Technological University, Singapore.
Liew, Rong Qi . 2555. "The use of copulas in spread trading".
    กรุงเทพมหานคร : Nanyang Technological University, Singapore.
Liew, Rong Qi . "The use of copulas in spread trading."
    กรุงเทพมหานคร : Nanyang Technological University, Singapore, 2555. Print.
Liew, Rong Qi . The use of copulas in spread trading. กรุงเทพมหานคร : Nanyang Technological University, Singapore; 2555.