School Seminars and Colloquia

Trading With the Copulas

School Seminar

by Lei Xing


Institution: The University of Melbourne
Date: Fri 27th June 2008
Time: 10:00 AM
Location: JH Michell Theatre, Richard Berry Bldg, The Uni of Melb

Abstract: Pair trading has prevailed as a fundamental Statistical Arbitrage strategy
on Hedge Fund, Investment Banking trading desks since 1980s. In brief, this strategy
is betting on the mean reversion of the spread between two co-integrated securities.

For More Information: Sanming Zhou s.zhou@ms.unimelb.edu.au