Kangwhee Kim

affiliation not provided to SSRN

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Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Number of pages: 24 Posted: 21 Aug 2011
Kangwhee Kim
affiliation not provided to SSRN
Downloads 1,042 (10,639)

Abstract:

Pairs trading, Statistical arbitrage, Kalman filter, High frequency trading, KOSPI 100