Machine learning in finance: developing a Pairs trading investment strategy with Python
Meloncelli, Lorenzo (A.A. 2022/2023) Machine learning in finance: developing a Pairs trading investment strategy with Python. Tesi di Laurea in Machine learning, Luiss Guido Carli, relatore Giuseppe Francesco Italiano, pp. 60. [Master's Degree Thesis]
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Abstract/Index
Overview. Research question. Data preparation. Data collection. Data cleaning. Research stage 1: pair selection and clustering. Pair space definition: clustering using unsupervised learning. Pairs selection. Performance evaluation. Research stage 2: forecasting-based trading. Forecasting-based trading model. Time series forecasting. Performance evaluation.
References
Bibliografia: pp. 57-60.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Data Science e Management (LM-91) |
| Chair: | Machine learning |
| Thesis Supervisor: | Italiano, Giuseppe Francesco |
| Thesis Co-Supervisor: | Simeone, Antonio |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 22 May 2024 13:06 |
| Last Modified: | 22 May 2024 13:06 |
| URI: | https://tesi.luiss.it/id/eprint/38606 |
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