Embarking on the DBA Journey: Progress and Passion in Algorithmic Trading Research

I wanted to share an exciting update on my academic journey. Recently, I passed a significant milestone in my doctorate program—a module titled "Progression to DBA Research Stage." This module has propelled me into the next phase of my studies, where I will be diving deep into my DBA thesis. As a passionate researcher in the field of algorithmic trading, I am thrilled to have the opportunity to explore this captivating subject further. In this blog post, I will discuss my research proposal, the progress made thus far, and my anticipated path for the next three years. As part of the module mentioned above, I had the chance to craft a comprehensive research proposal. Titled "Research Proposal for Algorithmic Trading," this document lays the foundation for my DBA thesis. It outlines the core concepts, objectives, and methodology that will shape my research in the coming years.

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Pairs Trading and Buy-and-Hold Trading Algorithms

Pairs trading is an established trading strategy for hedge funds and alike. It is a relatively simple trading strategy that presents two distinctive phases. First, it identifies pairs of securities that are related using one year of historical data. Second, it trades for six months the underlaying securities of the pairs whenever the spread of the pairs exceeds certain value, usually two times the historical standard deviation. In my latest manuscript I conduct an empirical research of pairs trading algorithm to study its behaviour and fundamental characteristics. Likewise, I compare the results with the standard benchmarking Buy-and-hold strategy using SPY contact. I find particularly interesting the conclusions for retail and institutional investors

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