Pair Trading Rule with Switching Regression GARCH Model

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• 关键词：Pairs trading ; Markov switching ; GARCH ; SET50 Index
• 刊名：Lecture Notes in Computer Science
• 出版年：2016
• 出版时间：2016
• 年：2016
• 卷：9978
• 期：1
• 页码：586-598
• 全文大小：681 KB
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• 作者单位：Kongliang Zhu (18)
  Woraphon Yamaka (18)
  Songsak Sriboonchitta (18)
  
  18. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand
  
• 丛书名：Integrated Uncertainty in Knowledge Modelling and Decision Making
• ISBN：978-3-319-49046-5
• 刊物类别：Computer Science
• 刊物主题：Artificial Intelligence and Robotics
  Computer Communication Networks
  Software Engineering
  Data Encryption
  Database Management
  Computation by Abstract Devices
  Algorithm Analysis and Problem Complexity
  
• 出版者：Springer Berlin / Heidelberg
• ISSN：1611-3349
• 卷排序：9978

文摘

Pairs trading strategy is a famous strategy and commonly taken by many investors. There are various approaches to define the pairs trading signal which is the important part of the strategy. This study aims to propose an alternative approach, Markov Switching Regression GARCH model, to specify the trading signal for stock pair taking into account the structural change in the pair return. We applied our proposed model to the Stock Exchange of Thailand and the result shows our pairs trading strategy is relatively more effective for financial investment management compared with the single mean return from individual stock method.