Fantini, Michele (A.A. 2019/2020) Backtesting the pair trading strategy using an algorithm built with Python. Tesi di Laurea in An introduction to programming (Python), Luiss Guido Carli, relatore Gianluca Rossi, pp. 44. [Bachelor's Degree Thesis]

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Abstract/Index

The theory behind the mean reversion strategy. The first studies on the random walk. Fama's model. Tests on EMH (Efficient market hypothesis). Consequences of the EMH. Critics to the EMH. Explanations of mean reversion. Evidences of mean reversion. Pair trading and mean reversion. Evidences behind pair trading. A practical example built with Python. Definition of the model. Implementation of the model.

References

Bibliografia: pp. 42-43.

Thesis Type:	Bachelor's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33)
Chair:	An introduction to programming (Python)
Thesis Supervisor:	Rossi, Gianluca
Academic Year:	2019/2020
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	11 May 2021 14:07
Last Modified:	11 May 2021 14:07
URI:	https://tesi.luiss.it/id/eprint/29463

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