About this document
Factor Models in Pairs Trading Analysis by Daniel Peña is a document available to read on EtoBox.
The document discusses applying factor models in pairs trading. It describes using the Fama-French 5 factor model to model the returns of PEP and KO stock and examine the residuals. A Kalman filter is then used on the residuals to generate trading signals for a pairs strategy that aims to eliminate factor exposure.
- Author
- Daniel Peña
- Language
- EN