Blar i Fakultet for samfunnsvitenskap (SAM) på forfatter "Thomassen, Christian"
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Statistical Arbitrage using High Frequency Pairs Trading - An algorithmic strategy in the US equity market
Kirkestuen, Fredrik; Thomassen, Christian (Master thesis, 2018)Using three-month minute-by-minute data from S&P 500 constituents we examine and report the return of a high frequency trading strategy by creating an algorithm based on pairs trading. The algorithm is created based on ...