Statistical arbitrage in South Africa
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...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/18603 |