Pair Trading Rule with Switching Regression GARCH Model

被引：0

作者：

Zhu, Kongliang ^{[1
]}

Yamaka, Woraphon ^{[1
]}

Sriboonchitta, Songsak ^{[1
]}

机构：

[1] Chiang Mai Univ, Fac Econ, Chiang Mai, Thailand

来源：

INTEGRATED UNCERTAINTY IN KNOWLEDGE MODELLING AND DECISION MAKING, IUKM 2016 | 2016年 / 9978卷

关键词：

Pairs trading; Markov switching; GARCH; SET50; Index; PERFORMANCE;

D O I：

10.1007/978-3-319-49046-5_50

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Pairs trading strategy is a famous strategy and commonly taken by many investors. There are various approaches to define the pairs trading signal which is the important part of the strategy. This study aims to propose an alternative approach, Markov Switching Regression GARCH model, to specify the trading signal for stock pair taking into account the structural change in the pair return. We applied our proposed model to the Stock Exchange of Thailand and the result shows our pairs trading strategy is relatively more effective for financial investment management compared with the single mean return from individual stock method.

引用

页码：586 / 598

页数：13

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