Pair Trading
Jing Liu ID: 105289432
Yunan Min ID: 10594475
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Introduction
Pair Trading Scheme
How to identify sets of stocks?
How to identify the trading signals?
Experiment
The correlation method
Results
Stock Pairs selected
Profit
Risk analysis
Evaluation
Apendix
Plots of Time v.s.Rank
SAS code for pair selecting
SAS code for trading signal
Raw data for top 100 companies in S&P 500 by Market Cap.
Raw data for bottom 100 companies in S&P 500 by Market Cap.