Sökning: "Dennis Loodh"
Hittade 1 uppsats innehållade orden Dennis Loodh.
1. An Empirical Assessment of Statistical Arbitrage : A Cointegrated Pairs Trading Approach
Kandidat-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : 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
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