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Market – Neutral Strategies Components Research

Student: Vyacheslav Klykov

Supervisor: Alexander Ponomarenko

Faculty: Faculty of Informatics, Mathematics, and Computer Science (HSE Nizhny Novgorod)

Educational Programme: Applied Mathematics and Information Science (Bachelor)

Final Grade: 7

Year of Graduation: 2017

"Market – Neutral Strategies Components Research" The volume of Final qualifying work is 41 page containing 18 figures. Appendix contains 2 code programs. Were used 7 sources. Key words: Statistical analysis, pair trading, market neutral strategy, machine learning, time series. The object of research are time series of companies in the Russian stock market. Final qualifying work consists of 3 chapters, the first one is introductory, describes the General mechanisms of how the stock market works, the second is mathematical and statistical base, the third is the presentation of the results and conclusion

Full text (added May 17, 2017)

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