ANALYSIS OF THE INVESTMENT ARBITRAGE STRATEGY USING FINANCIAL MULTIPLIERS

Abstract

This article describes an algorithm for stock pairs trading using financial multipliers of underlying companies. This algorithm has been tested on historical data and compared with classical Bollinger bands strategy. The results of tests were presented for two financial sectors of US stock market.

Keywords

• парный трейдинг
• финансовые мультипликаторы
• арбитраж
• полосы боллинджера
• инвестирование в акции
• инвестиционная стратегия
• сравнительная оценка компаний
• тесты на исторических данных
• pairs trading
• financial multipliers
• arbitrage
• bollinger bands
• investment in stocks
• investments strategy
• relative-value strategy
• backtesting