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Statistical arbitrage in South Africa
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2016
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| _version_ | 1867614393332662272 |
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| access_status_str | Open Access |
| author | Duyvené de Wit, Jean-Jacques |
| author2 | Kotzé, Kevin |
| author_browse | Duyvené de Wit, Jean-Jacques Kotzé, Kevin |
| author_facet | Kotzé, Kevin Duyvené de Wit, Jean-Jacques |
| author_sort | Duyvené de Wit, Jean-Jacques |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/18603 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:51:19.872Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/18603 Statistical arbitrage in South Africa Duyvené de Wit, Jean-Jacques Kotzé, Kevin Mathematical Finance Includes bibliographical references. This study investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging Sharpe ratio of 2.1. When realistic transaction costs are factored in, the Sharpe ratio drops to 0.43.The results underline the theoretical profitability of statistical arbitrage as a trading strategy and highlight the importance of transaction costs in a real-world setting. 2016-04-05T11:42:35Z 2016-04-05T11:42:35Z 2014 Master Thesis Masters MSc http://hdl.handle.net/11427/18603 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Duyvené de Wit, Jean-Jacques Statistical arbitrage in South Africa |
| thesis_degree_str | Master's |
| title | Statistical arbitrage in South Africa |
| title_full | Statistical arbitrage in South Africa |
| title_fullStr | Statistical arbitrage in South Africa |
| title_full_unstemmed | Statistical arbitrage in South Africa |
| title_short | Statistical arbitrage in South Africa |
| title_sort | statistical arbitrage in south africa |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/18603 |
| work_keys_str_mv | AT duyvenedewitjeanjacques statisticalarbitrageinsouthafrica |