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Pair Trading

Satisfactory Essays

PAIR TRADING STRATEGIES

Presented by:

Industry Guide: Faculty Guide:

Anand Agrawal - 09206 Sulagn Patanaik - 09150

Mr. Vivek Gupta Prof. Devi Prasad Bedari & Dr. Jaba M. Gupta

Company:

CapitalVia Global Research Ltd.

Road Map
About CapitalVia Why Pair Trading? Project Objective Scope What is Pair Trading? Methodology Strategy Analysis Observations Findings Limitations Future Scope
Pair Trading 1 November 2010

CapitalVia Global Research Ltd.
Investment advisory firm
Stock tips Commodity tips F&O

Intensive research in stock market Customers: Pan India Offices in India: Bangalore and Indore Expanding at rapid rate
Pair Trading 1 November 2010

Why Pair Trading
Niche strategy Opportunity in Indian market Only FOREX

Pair Trading

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ural Networks

Pair Trading

1 November 2010

Trading Based on Ratio Reversion
Select the Pair – OracleFS - Polaris Calculate price ratio of the pair OracleFS/Polaris for last 24 months Calculate Mean and Standard Deviation of Ratios Upper Bound = Mean + SD Lower Bound = Mean - SD

Pair Trading

1 November 2010

Oracle Financial Services
Symbol OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS OFSS Series EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ EQ Date 22-Apr-08 23-Apr-08 24-Apr-08 25-Apr-08 28-Apr-08 29-Apr-08 30-Apr-08 2-May-08 5-May-08 6-May-08 7-May-08 8-May-08 9-May-08 12-May-08 13-May-08 14-May-08 15-May-08 16-May-08 20-May-08 21-May-08 22-May-08 23-May-08 26-May-08 Prev Close 1323.85 1288.55 1280.9 1337.55 1331.85 1299.9 1320.4 1397 1423.3 1346.25 1351.1 1347.05 1318.1 1265.6 1228.3 1326.1 1384.6 1362.55 1403.3 1426.5 1458.45 1506.35 1440.4 Open Price High Price Low Price Last Price Close Price 1330 1290 1300 1365 1345 1315 1330 1450 1447.8 1360 1370 1345 1310 1267 1251 1310 1405 1380 1394 1420 1465 1495.1 1415 1330 1338 1365 1369.8 1359 1351 1425 1462.4 1447.8 1410 1380 1359 1335 1267 1368.95 1404 1439 1413.85 1450 1491 1520 1545 1423 1250 1271 1263.6 1321 1282 1296 1280 1414.95 1335 1293.6 1326.5 1302.7 1243.1 1205 1100 1310 1341.6 1366 1355 1400 1455 1422 1340 1290 1273.4 1335 1332.95 1300 1320 1395 1425.05 1340 1360 1340 1313 1245 1228 1325 1392 1360.15 1409 1424 1485 1515

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