Maximizing Profit Per Unit Time in Cointegration Based Pairs Trading
M.S. Thesis Presentation by Duygu Tutal Department of Industrial Engineering Bilkent University
Pairs Trading is a modest but persistent statistical arbitrage strategy. It is based on identifying a pair of stocks whose prices are driven by the same economic forces, and trade according to the spread between their prices. In this thesis, we study on a pairs trading method which maximizes the profit per unit time. We identify the pairs using cointegration analysis and build the method using Markov Chains. After constructing the method, we examine its performance on both simulated and real data. We use banking stocks from Istanbul Stock Exchange as real data. Keywords: Wire Electro Discharge Grinding, Micro Tool Fabrication, Experimental Modeling, Process Modeling.
This thesis is supervised by Assoc. Prof. Savaş Dayanık
