• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Konstantin Vlasov
The Efficiency of Statistical Arbitrage on the Russian Market
7
2018
The paper is devoted to analysis of common trading strategy known as pairs trading which is one of the methods of statistical arbitrage. Today there are a lot of researches devoted to this strategy which study the efficiency of pairs trading on different markets. However, nowadays it is not widely spread in Russia. In this study, there is the research of pairs trading efficiency on FORTS with 12 liquid futures on 1-minute timeframe. The results demonstrate that the strategy is able to generate quite high profit stably on Russian market. Moreover, several factors which affect pairs trading profitability were identified. These factors were used for portfolios construction of 5 and 10 pairs which have 169% and 122% return respectively. Thus, results of the study demonstrate that pairs trading is an effective strategy for trading on Russian market.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses