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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Ivan Miroshnichenko
The Use of Arbitrage Pairs Strategies on Russian Stock Market
Economics
(Bachelor’s programme)
7
2016
This research is devoted to the analysis of the pair trading strategies on the Russian stock market. In order to trade nine pairs were selected and then divided into groups with high, medium and low correlation. The strategy has 10 optimization periods and 30 testing periods on each of the nine pairs from the beginning of 2013 to the beginning of 2016. The proposed trading method that includes only the use of the next after optimization period achieves an average annual yield of 49.13%. As a result, it is concluded that the pair trading strategy in general is suitable for the Russian market, and the direct connection between the pair correlation coefficient and its profit was not found.

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