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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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.


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


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