Oyvind Foshaug

University of Amsterdam

MSc Student

Spui 21

Amsterdam, 1018 WB

Netherlands

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Implementation of Pairs Trading Strategies

Number of pages: 39 Posted: 25 Apr 2010 Last Revised: 12 Jan 2012
Oyvind Foshaug
University of Amsterdam
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Abstract:

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pairs trading, mean reversion, implementation, kalman filter, VAR