Project #16325 - cointegration and CPA

Apply cointegration tests to the two pairs of equities and determine whether or not a pairs trading strategy could be successful for these two pairs.

Use the data files Ford_GM.xls and CS_UBS.xls.

2) Apply the concept of PCA to the data incorporated in the spreadsheet, tsy_yield.xls. Identify how many PCA components there are in your data. Note that in the spreadsheet, you have daily yield data for the 2yr Treasury bonds, 5yr Treasury bonds, 7yr Treasury bonds, 10yr Treasury bonds and 30yr Treasury bonds. From this data, you can derive the relevant PCA components over different periods of time.

Subject Business
Due By (Pacific Time) 11/09/2013 11:00 pm
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