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Statistical arbitrage in South African equity markets
The dissertation implements a model driven statistical arbitrage strategy that uses the principal components from Principal Component Analysis as factors in a multi-factor stock model, to isolate the idiosyncratic component of returns, which is then modelled as an Ornstein Uhlenbeck process. The idi...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2015
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