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dc.contributor.authorHeymans, André
dc.date.accessioned2009-10-29T06:44:58Z
dc.date.available2009-10-29T06:44:58Z
dc.date.issued2007
dc.identifier.urihttp://hdl.handle.net/10394/2308
dc.descriptionThesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.
dc.description.abstractAlthough 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.publisherNorth-West University
dc.subjectFundamental analysisen
dc.subjectGARCHen
dc.subjectAgricultural commodities traderen
dc.subjectCo-integrationen
dc.subjectPairs tradingen
dc.subjectPairs selection processen
dc.subjectSeasonal patternsen
dc.subjectTechnical analysisen
dc.subjectUCMen
dc.subjectX12en
dc.titleManaging an agricultural commodities portfolio in South Africa with pairs tradingen
dc.typeThesisen
dc.description.thesistypeDoctoral


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  • ETD@PUK [6553]
    This collection contains the original digitized versions of research conducted at the North-West University (Potchefstroom Campus)

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