Papers by Surasak Choedpasuporn
was submitted to the College of Management, Mahidol University for the degree of Master of Manage... more was submitted to the College of Management, Mahidol University for the degree of Master of Management on
มหาวิทยาลัยมหิดล, Jan 20, 2015
In this study, we propose a variation of the statistical arbitrage trading strategy, “TVECM pair ... more In this study, we propose a variation of the statistical arbitrage trading strategy, “TVECM pair trading strategy”, which minimizes risk from its market neutral property and remains its profitability. To study performance of the strategy, we examine the 5-minutes intraday price relationship between pairs of assets in Thailand’s Stock Spot (SET) and Futures (TFEX) Markets and conduct backtesting. Three pairs of series of the same underlying asset (SET50, KTB, TRUE) which trade between 2nd July, 2014 and 29th August, 2014 are studied. Considering the differences of investor behaviors in different market condition, different level of mispricing spread and existence of the transaction cost in practical trading, the price relationship is estimated following the Threshold Vector Error Correction Model (TVECM). The TVECM pair trading strategy applies the estimated parameters to create trading signals. Applying the formulated strategy, the arbitrage opportunities are found. The performance of the TVECM pair trading strategy is found to be superior to the traditional pair trading strategy.
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Papers by Surasak Choedpasuporn