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Statistical arbitrage in South African financial markets
Includes abstract.
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| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2015
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| _version_ | 1867613343301238784 |
|---|---|
| access_status_str | Open Access |
| author | Govender, Kieran |
| author_browse | Govender, Kieran |
| author_facet | Govender, Kieran |
| author_sort | Govender, Kieran |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/12241 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:38.153Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/12241 Statistical arbitrage in South African financial markets Govender, Kieran Financial Mathematics Includes abstract. Includes bibliographic references (leaves 34-35). Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. The strategy is implemented with an algorithmic trading setup that models the spread in a state-space form... 2015-01-15T18:36:24Z 2015-01-15T18:36:24Z 2011 Master Thesis Masters MCom http://hdl.handle.net/11427/12241 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Mathematics Govender, Kieran Statistical arbitrage in South African financial markets |
| thesis_degree_str | Master's |
| title | Statistical arbitrage in South African financial markets |
| title_full | Statistical arbitrage in South African financial markets |
| title_fullStr | Statistical arbitrage in South African financial markets |
| title_full_unstemmed | Statistical arbitrage in South African financial markets |
| title_short | Statistical arbitrage in South African financial markets |
| title_sort | statistical arbitrage in south african financial markets |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/12241 |
| work_keys_str_mv | AT govenderkieran statisticalarbitrageinsouthafricanfinancialmarkets |