Quantitative trading on cryptocurrencies: a long/short strategy based on cointegration
Muroli, Vincenzo Francesco (A.A. 2019/2020) Quantitative trading on cryptocurrencies: a long/short strategy based on cointegration. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 59. [Master's Degree Thesis]
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Abstract/Index
Methodological background. Introduction to cointegration. Long/short strategy based on cointegration. Empirical analysis. Data. Software. Metodology. Analysis and performances in the out-of-sample period. Performances on out-of-sample period. Choice of the benchmark and comparison.
References
Bibliografia: p. 59.
| 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) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Porchia, Paolo |
| Academic Year: | 2019/2020 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 07 Jul 2021 10:14 |
| Last Modified: | 07 Jul 2021 10:14 |
| URI: | https://tesi.luiss.it/id/eprint/30004 |
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