On Statistical Arbitrage: Cointegration and Vector Error-Correction in the Energy Sector
This paper provides methods to select pairs potentially profitable within the frame of statistical arbitrage. We employ a cointegration approach on pairwise combinations of five large energy companies listed on the New York Stock Exchange for the period 27th September 2012 to 22nd April 2014. We fin...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Statistiska institutionen
2014
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226012 |