Statistical arbitrage in foreign exchange markets

Ciampriello, Luca (A.A. 2019/2020) Statistical arbitrage in foreign exchange markets. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 75. [Master's Degree Thesis]

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Exchange rate determinants. Exchange rates and short yields. Exchange rates and long yields. Exchange rates and convenience yields. Currency returns and aggregate risk. Importance of exchange rates. From UIP condition to currency risk premia. Currency portfolios. Currency excess returns and compensation for risk. From empirical evidence to statistical arbitrage. Statistical arbitrage. Statistical arbitrage in currency market. Evidence on currency statistical arbitrage strategies.


Bibliografia: p. 65.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Outstanding Thesis: Department of Economics and Finance
Chair: Asset pricing
Thesis Supervisor: Borri, Nicola
Thesis Co-Supervisor: Reichlin, Pietro
Academic Year: 2019/2020
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 07 Jul 2021 06:24
Last Modified: 14 Jul 2021 09:28


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