Sutanto, Jessica (2018) Penerapan statistical arbitrage untuk melakukan pairs trading di Indonesia = The Implementation of Statistical Arbitrage on Performing Pairs Trading In Indonesia. Bachelor thesis, Universitas Pelita Harapan.
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Abstract
Pairs trading merupakan salah satu cara yang paling umum digunakan dalam penerapan statistical arbitrage. Di Indonesia currency pairs trading sudah banyak dilakukan, namun pairs trading dengan menggunakan saham belum terdengar luas. Strategi yang dapat dipakai bermacam - macam, semua berorientasi untuk mencari hubungan antar variabel yang paling kuat. Data harga saham yang digunakan adalah saham yang masuk dalam IHSG dan sudah IPO sebelum periode pembentukan pairs. Data diperoleh dari Bloomberg Terminal. Pairs dibentuk dengan strategi distance method, cointegration, dan hurst exponent. Dengan dua periode, pembentukan pairs menggunakan data masing masing 5 tahun, kemudian diberlakukan backtesting selama 1 tahun. Hasil menunjukkan bahwa metode cointegration dan hurst exponent menghasilkan untung pada kedua periode, sedangkan pairs yang dibentuk dengan strategi distance method mengalami kerugian pada kedua periode. Namun setelah dilakukan simulasi tahunan dan dilakukan uji signifikansi, hurst exponent dan cointegration memberikan hasil yang sama baiknya.
| Item Type: | Thesis (Bachelor) | ||||||||||||
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| Additional Information: | SK 112-14 SUT p 2018; 31001000149659 | ||||||||||||
| Uncontrolled Keywords: | Statistical arbitrage; Pairs trading; Distance method; Cointegration; Hurst exponent; Stationarity | ||||||||||||
| Subjects: | Q Science > QA Mathematics | ||||||||||||
| Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics |
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| Depositing User: | Mrs Veronica Fitri Astuti | ||||||||||||
| Date Deposited: | 12 May 2021 14:20 | ||||||||||||
| Last Modified: | 16 Nov 2021 13:35 | ||||||||||||
| URI: | http://repository.uph.edu/id/eprint/18482 |
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