| dc.description.abstract | In this study, we investigate whether ‘Pairs Trading‘ strategy is applicable in the Indian
financial markets. This strategy has been used by Statistical Arbitrageurs in major markets
like USA and Europe. These markets are highly mature and liquid which is one of the key
requirements for any statistical arbitrage strategy implementation. Since India is a developing
country and the financial markets are comparatively less mature, less liquid and less stable, it
makes an interesting proposition to see whether Statistical Arbitrage techniques can be
applied in developing markets or not. We tried to implement the strategy on NSE-50 stocks
with their Closing Prices used for Back Testing. The Implementation of the strategy is based
on the ideas suggest by Daniel Herlemont (Herlemont, D. 2003) | en_US |
