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

Student: Ryblov Artem

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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