Sökning: "alexander djurberg"

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  1. 1. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
    Nyckelord :Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

    Sammanfattning : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. LÄS MER