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Managing an agricultural commodities portfolio in South Africa with pairs trading / André Heyman

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dc.contributor.author Heymans, André
dc.date.accessioned 2009-10-29T06:44:58Z
dc.date.available 2009-10-29T06:44:58Z
dc.date.issued 2007
dc.identifier.uri http://hdl.handle.net/10394/2308
dc.description Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.
dc.description.abstract Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The majority of agricultural commodity pairs traders take positions based on their personal view of price movements, without testing for a statistical relationship between the paired commodities that will guarantee that their prices will move back to a common mean. To remedy this lack of method regarding the pairs selection and pairs trading processes, a comprehensive pairs selection process was developed and is documented in this thesis. During the pairs selection process, several agricultural commodities were put through a rigorous evaluation process to test for any long-run statistical relationships between them. This was done to ensure that only pairs with stable long-run statistical relationships were included in the final pair’s portfolio that was compiled. In order to test the profitability of this pair’s portfolio, several fundamental and technical indicators were used to determine entry and exit points. Although some of these indicators did not render satisfactory results, the RSI and Bollinger bands succeeded in realising an acceptable profit.
dc.publisher North-West University
dc.subject Fundamental analysis en
dc.subject GARCH en
dc.subject Agricultural commodities trader en
dc.subject Co-integration en
dc.subject Pairs trading en
dc.subject Pairs selection process en
dc.subject Seasonal patterns en
dc.subject Technical analysis en
dc.subject UCM en
dc.subject X12 en
dc.title Managing an agricultural commodities portfolio in South Africa with pairs trading / André Heyman en
dc.type Thesis en
dc.description.thesistype Doctoral


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    This collection contains the original digitized versions of research conducted at the North-West University (Potchefstroom Campus)

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