Penerapan statistical arbitrage untuk melakukan pairs trading di Indonesia = The Implementation of Statistical Arbitrage on Performing Pairs Trading In Indonesia

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)
Creators:
CreatorsNIMEmail
Sutanto, JessicaNIM00000004833UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorMargaretha, HelenaNIDN0312057504UNSPECIFIED
Thesis advisorStefani, DinaNIDN0306109002UNSPECIFIED
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
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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