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The Choice of Assets and the Determination of the Fair Value of Spread for Arbitrage Market-Neutral Investment Strategies

Student: Artem Ryblov

Supervisor: Andrey G. Maksimov

Faculty: Faculty of Economics

Educational Programme: Economics (Master)

Year of Graduation: 2018

In the first chapter we will get acquainted with the history of creating and developing strategies for pair trading and basket trading, and describe market-neutral strategies; in the second chapter it is told about automation of loading of quotations of stocks; In the third chapter, asset selection criteria are described and formed, followed by exploratory analysis to determine trends and key values ​​for constructing an asset selection algorithm for the trading trade strategy described at the end of this chapter; in the fourth chapter, two trading algorithms are presented, as well as an algorithm for selecting the coefficient before the standard deviation; the fifth chapter discusses the results of the work on pair trading; the sixth chapter briefly describes the program code that was written for this work.

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