Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)

Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)

This internship report is submitted in a partial fulfillment of the requirements for the degree of Bachelor of Business Administration, 2017.

Sonraí bibleagrafaíochta
Príomhchruthaitheoir: Saadi, Abrar Hassan
Rannpháirtithe: Chowdhury, Md. Hasan Maksud
Formáid: Internship report
Teanga:English
Foilsithe / Cruthaithe: BRAC University 2017
Ábhair:
AFC Capital Limited
Financial institutions
Financial engineering
GARCH
Investment strategies
Rochtain ar líne:http://hdl.handle.net/10361/8660
id 10361-8660
record_format dspace
spelling 10361-86602019-09-30T03:16:25Z Statistical arbitrage and risk management at AFC Capital Limited (AFCCL) Saadi, Abrar Hassan Chowdhury, Md. Hasan Maksud BRAC Business School, BRAC University AFC Capital Limited Financial institutions Financial engineering GARCH Investment strategies This internship report is submitted in a partial fulfillment of the requirements for the degree of Bachelor of Business Administration, 2017. Cataloged from PDF version of internship report. Includes bibliographical references (page 27). The global financial industry has evolved greatly in last three decades. Complex Financial engineering has led to innovation of a wide variety of financial instruments. Many of these evolved due to the necessity of hedging against unanticipated price fluctuations but speculation is a greater motive today. Being a financial institution AFC Capital Limited seeks to asses profitable investment strategies. Traders deploy quantitative methods to scan for active trading strategies. One of the widely used strategies include statistical arbitrage with proprietary modifications to suit for different markets worldwide. A significant part of every trade involves risk management. This paper seeks to develop active trading strategies based on arbitrage opportunities and managing risk with quantitative methods. A statistical arbitrage involves analyzing mispricing between instruments and exploit the discrepancy. We look at these opportunities from classic research examples to shed some light on the strategy. In the risk management part we look at GARCH and Artificial Neural Network methods to quantify possible risk. These models feature volatility forecast and enables a trader to spot the inherent risk present in those instruments. Abrar Hassan Saadi B. Business Administration  2017-12-20T06:58:56Z 2017-12-20T06:58:56Z 2017 2017-04-30 Internship report ID 13104186 http://hdl.handle.net/10361/8660 en BRAC University Internship reports are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. 27 pages application/pdf BRAC University
institution Brac University
collection Institutional Repository
language English
topic AFC Capital Limited
Financial institutions
Financial engineering
GARCH
Investment strategies
spellingShingle AFC Capital Limited
Financial institutions
Financial engineering
GARCH
Investment strategies
Saadi, Abrar Hassan
Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)
description This internship report is submitted in a partial fulfillment of the requirements for the degree of Bachelor of Business Administration, 2017.
author2 Chowdhury, Md. Hasan Maksud
author_facet Chowdhury, Md. Hasan Maksud
Saadi, Abrar Hassan
format Internship report
author Saadi, Abrar Hassan
author_sort Saadi, Abrar Hassan
title Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)
title_short Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)
title_full Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)
title_fullStr Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)
title_full_unstemmed Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)
title_sort statistical arbitrage and risk management at afc capital limited (afccl)
publisher BRAC University
publishDate 2017
url http://hdl.handle.net/10361/8660
work_keys_str_mv AT saadiabrarhassan statisticalarbitrageandriskmanagementatafccapitallimitedafccl
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