{"id":12583,"date":"2008-01-01T00:00:00","date_gmt":"2008-01-01T08:00:00","guid":{"rendered":"https:\/\/www.hmc.edu\/clinic\/2008\/investigating-returns-to-pairs-trading-strategies\/"},"modified":"2008-01-01T00:00:00","modified_gmt":"2008-01-01T08:00:00","slug":"investigating-returns-to-pairs-trading-strategies","status":"publish","type":"post","link":"https:\/\/www.hmc.edu\/clinic\/2008\/investigating-returns-to-pairs-trading-strategies\/","title":{"rendered":"Investigating Returns to Pairs Trading Strategies"},"content":{"rendered":"<h2 class=\"project-sponsor-dept-year\"><span class=\"project-sponsor\">Citadel Investment Group<\/span> <span class=\"project-dept-year\">Mathematics, 2007-08<\/span><\/h2>\n<div class=\"project-team\">\n<p><strong>Liaison(s):<\/strong> Russ Osborn&#8217;06,  Mike Schubmehl &#8217;02<br \/>\n<strong>Advisor(s):<\/strong> Andrew Bernoff<br \/>\n<strong>Students(s):<\/strong> Asaf Bernstein (PM),  Jason Fennell,  Patrick Foley,  Zachary Rogstad,  Kenn Tevin<\/p>\n<\/div>\n<div class=\"project-abstract\">\n<p>The Clinic team investigated pairs trading, a quantitive investment strategy that identifies and exploits highly-correlated stock pairs to produce a high profit-to-risk ratio. The team designed software to automate testing of this strategy allowing them to reproduce results in the academic literature and investigate the driving factors behind a previously documented trading rule. They identified how sensitive the existing method is to a variety of parameters and have suggested strategies for optimizing the returns along with fertile areas for further investigation.<\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Citadel Investment Group Mathematics, 2007-08 Liaison(s): Russ Osborn&#8217;06, Mike Schubmehl &#8217;02 Advisor(s): Andrew Bernoff Students(s): Asaf Bernstein (PM), Jason Fennell, [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[185],"tags":[429],"class_list":["post-12583","post","type-post","status-publish","format-standard","hentry","category-mathematics","tag-citadel-investment-group"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts\/12583","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/comments?post=12583"}],"version-history":[{"count":0,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/posts\/12583\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/media?parent=12583"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/categories?post=12583"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.hmc.edu\/clinic\/wp-json\/wp\/v2\/tags?post=12583"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}