Statistical Arbitrage on the Russian Stock Market

Student: Dubovitskiy Aleksandr

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2024

In this study, a pairs trading strategy is tested on the Russian stock market and two approaches to selecting assets for cointegration are compared: fundamental and clustering. The results of the experimental research showed that the clustering approach can be a good alternative to the fundamental one, but does not surpass it. Both methods showed a decrease in the quality of results when using a p-value threshold of 0.1. At a threshold of 0.05, the classical approach demonstrates a higher Sharpe ratio than at a threshold of 0.01, however, the percentage of profitable pairs decreases. When using clustering, the opposite situation is observed.

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