Advertisement
If you have a new account but are having problems posting or verifying your account, please email us on hello@boards.ie for help. Thanks :)
Hello all! Please ensure that you are posting a new thread or question in the appropriate forum. The Feedback forum is overwhelmed with questions that are having to be moved elsewhere. If you need help to verify your account contact hello@boards.ie
Hi there,
There is an issue with role permissions that is being worked on at the moment.
If you are having trouble with access or permissions on regional forums please post here to get access: https://www.boards.ie/discussion/2058365403/you-do-not-have-permission-for-that#latest

Msc thesis

  • 07-02-2015 2:22pm
    #1
    Registered Users, Registered Users 2 Posts: 454 ✭✭


    Hi All,

    I'm doing an Msc in Quant Finance and I would like to do a thesis on Pair trading.


    I have read several books/thesis or approaches to pair trading.

    Would anyone have any idea on what I could look at ?


    Ty


Comments

  • Closed Accounts Posts: 608 ✭✭✭For ever odd


    Coca-Cola (KO) and Pepsi (PEP)
    Renault (RNO) and PSA Peugeot Citroen (UG)
    Wal-Mart (WMT) and Target Corporation (TGT)[5]
    Exxon Mobil (XOM) and Chevron Corporation (CVX)
    Alliance and Leicester (AL.L) and Royal Bank of Scotland (RBS.L)
    Portugal Telecom (PTC.LS) and Telefonica (TEF.MC)
    Banco Comercial Português (MBC.LS) and Banco Português de Investimento (BPI.LS)
    RWE (RWE.DE) and E.ON (EOAN.DE)
    BHP Billiton Limited (BHP) and BHP Billiton plc (BBL)


  • Registered Users, Registered Users 2 Posts: 1,154 ✭✭✭arrowloopboy


    jpy/aud


  • Registered Users, Registered Users 2 Posts: 2,435 ✭✭✭ixus


    Cointegration or some various statistical method for analysing a pairs potential.


  • Registered Users, Registered Users 2 Posts: 33,770 ✭✭✭✭RobertKK


    Gilead Sciences and Celgene.

    Then I googled and came across this: http://seekingalpha.com/article/2873936-why-im-buying-gilead-and-selling-celgene


  • Registered Users, Registered Users 2 Posts: 454 ✭✭ebayissues


    Thanks for the response all.

    I'm familiar with the the statistical methods for pair trading especially cointegration and I'm also looking at a stochastic approach as well.

    As the research area is pair trading I am trying to narrow it down to a subject/topic area e.g An analysis of pair trading strategies in the ISEQ ?

    Issu with this is that it has already been done not necessarily for the ISEQ but for FTSE/SPX. An unique area would be fantastic I'm out of ideas as it's.


  • Advertisement
  • Registered Users, Registered Users 2 Posts: 2,435 ✭✭✭ixus


    Gold Swiss dollar. Platinum or palladium v Ruble. Sugar brazilian real. I.e commodity v its fx. Nestle cocoa. Or a commodity v it's biggest consumer countries fx or equity index.

    Lots of ideas. It's how you carry out the testing that matters.

    Familiar with cointegration? You won't find too many papers on it. Don't do something basic like iseq. BORING for anyone to listen to in an interview.


  • Registered Users, Registered Users 2 Posts: 1,704 ✭✭✭Mr.David


    You could look at trading pairs of stocks using information implied from their respective option sets as a trigger for trading. Specifically, changes in skew in one of the two sets of options which could be indicative of company-specific news not yet factored into the stock price (often clever money goes to the options mkt before the stock mkt and so price discovery can be greater in options than the underlying stocks).


  • Registered Users, Registered Users 2 Posts: 5,994 ✭✭✭daheff


    maybe look at CHF /RUB ....might be a little difficult with the recent SNB cap vs eur lifted...but could be interesting research if nothing else


  • Registered Users, Registered Users 2 Posts: 2,540 ✭✭✭freeze4real


    Mr.David wrote: »
    You could look at trading pairs of stocks using information implied from their respective option sets as a trigger for trading. Specifically, changes in skew in one of the two sets of options which could be indicative of company-specific news not yet factored into the stock price (often clever money goes to the options mkt before the stock mkt and so price discovery can be greater in options than the underlying stocks).

    That's quite interesting. It's something I might look into as I'm contemplating doing a thesis into this HFT.


    I'm not sure if it's a good idea to focus a thesis on just an equity/currency. I'd rather examine a group of assets and do a statistical test ( cointegration ) if some relationship do exist and try and form a portfolio from these.

    Then again these has been done by others. So how do youake your thesis stand out from the rest ?


Advertisement