Utilizing short-term noise in non-efficient markets by paired assets : -Introducing the Technical AMH trader
In this paper, we present an algorithmic implementation of a pairs trading strategy on the OMXS during the years from 2010 until 2018. In our case, the trading algorithm is based on the Adaptive Market Hypothesis (AMH) theory. Hence, the algorithm scans the market for temporary inefficient behaviour...
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| Format: | Others |
| Language: | English |
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Umeå universitet, Nationalekonomi
2019
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-165200 |