Friday, August 24, 2012

Cointegration Based Stock Selection and Portfolio Trading Strategies



The Cointegration based Alpha
Paper gives good accout of development of Cointegration concept.
2002
http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/AD_2002.pdf






High-dimensional Index Tracking with Cointegrated
assets using an hybrid Genetic Algorithm
https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=CEF2011&paper_id=153


Co-integration of Stock Markets using Wavelet Theory and
Data Mining
http://www.finance-innovation.org/risk08/files/1588125.pdf


http://www.icmacentre.ac.uk/pdf/discussion/DP2004-04.pdf

http://www.ljmu.ac.uk/AFE/AFE_docs/ARTCDRH_01051.PDF


Causal Relations among Stock Prices and Macroeconomic
Variables in the Small, Open Economy of Jordan

http://www.kau.edu.sa/Files/320/Researches/51694_21829.pdf

http://www.eui.eu/Personal/Luetkepohl/RecentAdvances.pdf



Books and Theses



Market Risk Analysis, Practical Financial Econometrics

Carol Alexander
John Wiley & Sons, 30-Apr-2008 - 426 pages
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis.
http://books.google.co.in/books?id=XUDfylY6MO8C

Graduate thesis - Bachelors degree
Pairs trading - cointegration approach
http://ses.library.usyd.edu.au/bitstream/2123/4072/1/Thesis_Schmidt.pdf

Cointegration based Statistical Arbitrage - 2012 Master's Thesis
Swiss Federal Institute of Technology, Zurich
http://stat.ethz.ch/research/mas_theses/2012/harlacher.pdf



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