The Efficiency of Statistical Arbitrage on the Russian Market

Student: Vlasov Konstantin

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 7

Year of Graduation: 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.

Full text (added May 21, 2018)

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