Design of Pairs Trading Strategies for Brown and Green Assets with Risk Diversification
نویسندگان
چکیده
Pairs trading attempts to use the idea of relative pricing, that is, if two securities have similar characteristics, then prices both must be more or less same. With promotion carbon neutrality, green transformation brown assets has become a hot topic. Through series steps including selection, co-integration coefficients calculation, mean-reverting examination, threshold parameters determination, lines design and test set back-testing, complete pairs is done by using stocks. Besides, portfolio strategy containing 50 with strongest relationship carried out for diversifying fundamental differential risk, result back-testing profitable.
منابع مشابه
simulation and design of electronic processing circuit for restaurants e-procurement system
the poor orientation of the restaurants toward the information technology has yet many unsolved issues in regards to the customers. one of these problems which lead the appeal list of later, and have a negative impact on the prestige of the restaurant is the case when the later does not respond on time to the customers’ needs, and which causes their dissatisfaction. this issue is really sensiti...
15 صفحه اولOptimal Dynamic Trading Strategies with Risk Limits
Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular, VaR limits have been found to induce increased risk exposure in some states and an increased probability o...
متن کاملTrading Complex Assets∗
We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity, and trade efficiency. Subjects were asked to deduce the value of a particular asset from information they were given about the composition and price of several portfolios. Following that, subjects traded with each other anonymously in a well-defined, simple bargaining process. P...
متن کاملdesign of an analog ram (aram)chip with 10-bit resolution and low-power for signal processing in 0/5m cmos process
برای پردازش سیگنال آنالوگ در شبکه های عصبی ، معمولا نیاز به یک واحد حافظه آنالوگ احساس میشود که بدون احتیاج به a/d وd/a بتواند بطور قابل انعطاف و مطمئن اطلاعات آنالوگ را در خود ذخیره کند. این واحد حافظه باید دارای دقت کافی ، سرعت بالا ، توان تلفاتی کم و سایز کوچک باشد و همچنین اطلاعات را برای زمان کافی در خود نگهدارد. برای پیاده سازی سیستمی که همه این قابلیتها را در خود داشته باشد، کوشش...
15 صفحه اولDynamic Cointegrated Pairs Trading: Time-Consistent Mean-Variance Strategies
Cointegration is a useful econometric tool for identifying assets which share a common equilibrium. Cointegrated pairs trading is a trading strategy which attempts to take a profit when cointegrated assets depart from their equilibrium. This paper investigates the optimal dynamic trading of cointegrated assets using the classical mean-variance portfolio selection criterion. To ensure rational e...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Financial engineering and risk management
سال: 2023
ISSN: ['2523-2576']
DOI: https://doi.org/10.23977/ferm.2023.060703