Multidimensional cointegration for stocks picking: empirical evidence
Gaffi, Anakin (A.A. 2022/2023) Multidimensional cointegration for stocks picking: empirical evidence. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 51. [Master's Degree Thesis]
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Abstract/Index
Theoretical basis of strategy: pair trading and cointegration. Long/short strategy and market neutrality. Pair trading. Cointegration. Testing for cointegration: ADF test. Testing for cointegration: Johansen test. Strategy implementation. Dataset preparation. Sets selection. Sets ranking and cointegration analysis. Trading results. Creation of portofolios. Portfolio results. Portfolio returns. Volatility of portfolios. Kurtosis and Skewness. Sharpe ratio.
References
Bibliografia: p. 50.
| 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: | Asset pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Marchisio, Valerio |
| Academic Year: | 2022/2023 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 28 Aug 2024 14:34 |
| Last Modified: | 28 Aug 2024 14:34 |
| URI: | https://tesi.luiss.it/id/eprint/39465 |
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