This thesis aims to explain and develop an investment strategy with the use of econometric tools. In particular, we will be analyzed and developed the "pair trading", a new trading strategy, increasingly widespread among market participants. The pairs trade or pair trading (PT) is a market neutral trading strategy enabling traders to prot from virtually any market conditions: up-trend, down-trend, or sideways movement. This strategy is categorized as a statistical arbitrage and convergence trading strategy.
This thesis aims to explain and develop an investment strategy with the use of econometric tools. In particular, we will be analyzed and developed the "pair trading", a new trading strategy, increasingly widespread among market participants. The pairs trade or pair trading (PT) is a market neutral trading strategy enabling traders to prot from virtually any market conditions: up-trend, down-trend, or sideways movement. This strategy is categorized as a statistical arbitrage and convergence trading strategy.
Analysis for portfolio construction in pair trading cointegration framework.
DE MARCO, FEDERICO
2014/2015
Abstract
This thesis aims to explain and develop an investment strategy with the use of econometric tools. In particular, we will be analyzed and developed the "pair trading", a new trading strategy, increasingly widespread among market participants. The pairs trade or pair trading (PT) is a market neutral trading strategy enabling traders to prot from virtually any market conditions: up-trend, down-trend, or sideways movement. This strategy is categorized as a statistical arbitrage and convergence trading strategy.È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/6791