Pairs Trading via Three-Regime Threshold Autoregressive GARCH Models
- 講者Max Chen 博士 (Department of Finance, Ming Chuan University)
邀請人：何建明 - 時間2014-07-25 (Fri.) 10:00 ~ 12:00
- 地點資訊所新館106演講廳
摘要
Pairs trading is a popular strategy on Wall Street. Most pairs trading strategies are based on a minimum distance approach or cointegration method. In this paper, we propose an alternative model to the process of pair return spread. Specifically, we model the return spread of potential stock pairs as a three-regime threshold autoregressive model with GARCH effects (TAR-GARCH), and the upper and lower regimes in the model are used as trading entry and exit signals. An application to the Dow Jones Industrial Average Index stocks is presented.