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Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …
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In dieser Arbeit wird eine algorithmische Anlagestrategie untersucht, die auf paarweise kointegrierten Assets basiert. Das Kernstück solcher Strategien bildet das Auffinden von handelbaren Linearkombinationen aus mindestens zwei Assets. Ein intuitiver Ansatz, um solche Linearkombinationen...
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We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to...
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