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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Elena Stepanova
The Effectiveness of Statistical Arbitrage in the Russian and American Stock Markets
Bachelor’s programme
2014
Price movements in the stock market represent a random walk process, which is very difficult to model. That is why trading equities is exposed to substantial risks. However, many investors manage to build such trading systems that are able to outperform the stock market and bring its creator significant profits. One of such trading strategies is the statistical arbitrage, which is the main object of this research.Lately statistical arbitrage has become popular among scientific researchers as well as stock market participants. However, despite its growing popularity, there are not so many scientific works devoted to testing the effectiveness of the pairs trading on the real market data. That’s why the practical importance of this work lies in structuring the existing academic knowledge about the statistical arbitrage and analyzing its effectiveness not only in the American stock market, but also in the developing Russian stock market.The structure of this work is as follows. First the theoretical fundament of the statistical arbitrage is explored, then the advantages and drawbacks of such strategies are described, afterwards the effectiveness of the existing statistical arbitrage strategies is analyzed, then the main approaches to trading pairs are discussed, and finally a unique strategy is build and tested for its effectiveness.

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