Statistical arbitrage on the FTSE/JSE TOP 40 index

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dc.contributor.authorNgcobo-Koyana, Mandlenkosi Svato
dc.date.accessioned2017-09-20T11:52:44Z
dc.date.available2017-09-20T11:52:44Z
dc.date.issued2017
dc.descriptionSubmitted as a Requirement of the Master of Management (Finance and Investment Management) University of the Witwatersrand Business School Johannesburgen_ZA
dc.description.abstractThe mid 2000’s saw the materialization of research into the financial engineering field of high frequency trading. It is arguable that the most prominent model to emerge from the research has been pairs trading. This idea can be extended to allow for more than two assets in a modelling method now known as statistical arbitrage. The research identifies a collection of assets with a deterministic component; it then follows a multiple linear regression to exploit persistent mispricings among these assets. Further, multiple linear regression metrics are used to identify the analytic form of the trading rule and to validate the performance of the model. The first part of model constructs combinations of assets which contain a significant predictable component by co-integration, the second part builds a predictive models for the dynamics of the mispricing using statistical model. The success of the model is demonstrated with reference to a statistical analysis of 5-minute closing prices on the Johannesburg Stock Exchange (JSE) TOP40 Index and the constituent shares of the JSE TOP40 Index.en_ZA
dc.description.librarianMT2017en_ZA
dc.format.extentOnline resource (44 leaves)
dc.identifier.citationNgcobo-Koyana, Mandlenkosi Svato (2017) Statistical arbitrage on the FTSE/JSE TOP 40 index, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/23134>
dc.identifier.urihttp://hdl.handle.net/10539/23134
dc.language.isoenen_ZA
dc.subject.lcshStocks--Prices--South Africa
dc.subject.lcshJohannesburg Stock Exchange
dc.subject.lcshArbitrage
dc.subject.lcshFinance--Mathematical models
dc.titleStatistical arbitrage on the FTSE/JSE TOP 40 indexen_ZA
dc.title.alternativeAn empirical approach to statistical arbitrage on the FTSE/JSE TOP 40 Index
dc.typeThesisen_ZA
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