Pair trading strategy: implementation of partial cointegration model on Italian stock market
Mangiucca, Andrea (A.A. 2022/2023) Pair trading strategy: implementation of partial cointegration model on Italian stock market. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Giacomo Morelli, pp. 58. [Master's Degree Thesis]
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Abstract/Index
Pair trading literature review. Pair trading fundamentals. Distance method. Classical cointegration approach. PArtial cointegration approach. Other approaches. Methodology. Representation. Parameters estimations. Simulation of par model. Kalman filter application. Properties of AIC test. Trading strategy. Study periods. Pairs selection. trading signals. Trading on simulated data. Parameters calibration. PCI results.
References
Bibliografia: pp. 57-58.
| 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: | Empirical finance |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Santucci de Magistris, Paolo |
| Academic Year: | 2022/2023 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Jul 2024 10:50 |
| Last Modified: | 16 Jul 2024 10:50 |
| URI: | https://tesi.luiss.it/id/eprint/39354 |
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