Performance analysis of a cointegration based statistical arbitrage portfolio
Cappuccio, Federico (A.A. 2020/2021) Performance analysis of a cointegration based statistical arbitrage portfolio. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 83. [Master's Degree Thesis]
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Abstract/Index
Pair trading and statistical arbitrage. Long/short equity strategies. Pair trading. Statistical arbitrage. Trading strategy. Data picking and sampling. Data polishing. Pair selection. Trading signal generation. Portfolio returns. Performance analysis. Traded pairs. Portfolio statistics. Risk exposure. Key risks. Exposure to market liquidity risk.
References
Bibliografia: pp. 61-62.
| 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: | Equity markets and alternative investments |
| Thesis Supervisor: | Vitale, Paolo |
| Thesis Co-Supervisor: | Morelli, Marco |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 Mar 2022 08:33 |
| Last Modified: | 24 Mar 2022 08:33 |
| URI: | https://tesi.luiss.it/id/eprint/31819 |
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