Profitability of algorithmic Pairs trading strategy: an empirical application on the Italian stock exchange using cointegration approach
Graziani, Kevin (A.A. 2020/2021) Profitability of algorithmic Pairs trading strategy: an empirical application on the Italian stock exchange using cointegration approach. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 46. [Master's Degree Thesis]
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Abstract/Index
Concept of statistical arbitrage. History. Strategies. Pairs trading approaches. Analysis of cointegration approach. Pairs trading strategy on the Italian stock exchange. Preliminary remarks. Training period. Trading period. Findings. Results of the strategy. Further developments.
References
Bibliografia: p. 35.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2020/2021 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 21 Jul 2022 10:38 |
| Last Modified: | 21 Jul 2022 10:38 |
| URI: | https://tesi.luiss.it/id/eprint/32918 |
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