Pairs trade strategy with state space model in cryptocurrency market
Risca, Leonardo (A.A. 2021/2022) Pairs trade strategy with state space model in cryptocurrency market. Tesi di Laurea in Econometria per la finanza, Luiss Guido Carli, relatore Federico Carlo Eugenio Carlini, pp. 57. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Statistical notions. The cointegrated VAR model. State space analysis. Model and pairs trade strategy. The state space model. The trading strategy. Backtesting.
References
Bibliografia: p. 45.
| 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: | Econometria per la finanza |
| Thesis Supervisor: | Carlini, Federico Carlo Eugenio |
| Thesis Co-Supervisor: | Cybo, Ottone Alberto |
| Academic Year: | 2021/2022 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Aug 2023 12:49 |
| Last Modified: | 03 Aug 2023 12:49 |
| URI: | https://tesi.luiss.it/id/eprint/36269 |
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