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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Ilya Kochenkov
An Analysis of Influence of Liquidity on Efficiency of Pair Trading Strategy on Emerging and Developed Markets
9
2016
The graduate paper "An Analysis of Influence of Liquidity on Efficiency of Pair Trading Strategy on Emerging and Developed Markets" investigates the impact of liquidity on efficiency of pair trading on stock markets of Russia, UK, Germany and India. The graduate paper is dedicated to analysis of pair trading strategy and its goal is to reveal the patterns of how liquidity of instruments influences on profitability of the strategy. The paper contains introduction, three sections and conclusion. Introduction describes relevance of the research. Section one gives an observation of existing researches dedicated to the problem. Section two provides methodology of the analysis and trading algorithm of the strategy. Section three provides an empirical analysis of influence of liquidity on pair trading efficiency and gives an interpretation of revealed patterns. Conclusion sums up the results of the research. The graduate paper contains 62 pages, supported by 20 charts and 2 source code listings. Bibliography contains 22 sources

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