Sökning: "Dennis Loodh"

Hittade 1 uppsats innehållade orden Dennis Loodh.

  1. 1. An Empirical Assessment of Statistical Arbitrage : A Cointegrated Pairs Trading Approach

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Dennis Loodh; Daniel Carlsson; [2015]
    Nyckelord :Market neutrality; cointegration; pairs trading; mean-reversion;

    Sammanfattning : This paper assesses the aspect of market neutrality for a pairs trading strategy built on cointegration. This was conducted by evaluating the strategy?s performance during a negative market environment, 2007-06-01 to 2008-12-30, and a positive market environment, 2013-05-31 to 2014-12-30, for the stocks listed in the OMXS30 index. LÄS MER