Cadura, Valerio Romano (A.A. 2023/2024) Clustering for statistical arbitrage in medium frequency trading. Tesi di Laurea in Artificial intelligence and machine learning, Luiss Guido Carli, relatore Giuseppe Francesco Italiano, pp. 50. [Bachelor's Degree Thesis]

Full text for this thesis not available from the repository.

Abstract/Index

Foundational concepts in computational finance. Trading strategy. Self-financing trading strategies. Arbitrage. Statistical arbitrage. Introduction to cluster analysis. Problem statement. K-means. Spectral clustering. HDBSCAN clustering. Problem setting and proposed solutions. Portfolio construction. Data pre-processing. Co-movement identification: clustering. Intra-clusters winners and losers. Portfolio construction. Evaluation criteria. Empirical results. Portfolio performance comparison.

References

Bibliografia: pp. 39-41.

Thesis Type:	Bachelor's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Bachelor's Degree Programs > Bachelor's Degree Program in Management and Computer Science, English language (L-18)
Chair:	Artificial intelligence and machine learning
Thesis Supervisor:	Italiano, Giuseppe Francesco
Academic Year:	2023/2024
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	26 Nov 2024 15:07
Last Modified:	26 Nov 2024 15:07
URI:	https://tesi.luiss.it/id/eprint/40448

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