Pairs Trading: Performance of Markov Regime-Switching Model with Mean Reversion－Evidence in S&P 500 Stock Market
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 101 === There is a lack of literature on the pair trading model which can catch both the mean-reverting and two different states of spreads. The purpose of this study is to determine if the use of the model which combines the Markov regime-switching model and the Va...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/y8k83n |