Optimal Pair-Trading Decision Rules for a Class of Non-Linear Boundary Crossings by Ornstein-Uhlenbeck Processes Page: XI
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EOAN and RWE for first half of 2021 116
Table 6.5. Parameter estimates for the trend-stationary OU process representation
of spread between EOAN and RWE for first half of 2021 117
Table 6.6. Thresholds for the various trading strategies for the spread between
EOAN and RWE for first half of 2021 117
Table 6.7. Parameter estimates for OU process representation of spread between
XOM and CVX for first half of 2021 119
Table 6.8. Parameter estimates for the trend-stationary OU process representation
of spread between XOM and CVX for first half of 2021 120
Table 6.9. Thresholds for the various trading strategies for the spread between XOM
and CVX for first half of 2021 120
Table 6.10. Parameter estimates for OU process representation of spread between
WMT and TGT for first half of 2021 122
Table 6.11. Parameter estimates for the trend-stationary OU process representation
of spread between WMT and TGT for first half of 2021 123
Table 6.12. Thresholds for the various trading strategies for the spread between WMT
and TGT for first half of 2021 123
Table 6.13. Performance comparison of the strategies, by profits, for first half of 2021 125
Table 6.14. Parameter estimates for OU process representation of spread between
PEP and KO from July, 2016 to June, 2021 126
Table 6.15. Parameter estimates for the trend-stationary OU process representation
of spread between PEP and KO from July, 2016 to June, 2021 127
Table 6.16. Thresholds for the various trading strategies for the spread between PEP
and KO from July, 2016 to June, 2021 127
Table 6.17. Parameter estimates for OU process representation of spread between
EOAN and RWE from July, 2016 to June, 2021 129
Table 6.18. Parameter estimates for the trend-stationary OU process representation
of spread between EOAN and RWE from July, 2016 to June, 2021 130xi
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Tamakloe, Emmanuel Edem Kwaku. Optimal Pair-Trading Decision Rules for a Class of Non-Linear Boundary Crossings by Ornstein-Uhlenbeck Processes, dissertation, December 2021; Denton, Texas. (https://digital.library.unt.edu/ark:/67531/metadc1873709/m1/12/: accessed July 17, 2024), University of North Texas Libraries, UNT Digital Library, https://digital.library.unt.edu; .