Testing investment strategies for statistical arbitrage
| dc.contributor.advisor | Ανθρωπέλος, Μιχαήλ | |
| dc.contributor.author | Γκέτζος, Πέτρος Κ. | |
| dc.date.accessioned | 2015-01-20T08:53:28Z | |
| dc.date.available | 2015-01-20T08:53:28Z | |
| dc.date.issued | 2015-01-20T08:53:28Z | |
| dc.identifier.uri | https://dione.lib.unipi.gr/xmlui/handle/unipi/6245 | |
| dc.language.iso | el | |
| dc.rights | Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.el | |
| dc.subject | Arbitrage -- Mathematical models | |
| dc.subject | Securities | |
| dc.subject | Investments | |
| dc.subject | Stochastic processes -- Mathematical models | |
| dc.title | Testing investment strategies for statistical arbitrage | |
| dc.type | Master Thesis | |
| europeana.isShownAt | https://dione.lib.unipi.gr/xmlui/handle/unipi/6245 | |
| dc.identifier.call | 332.6 ΓΚΕ | |
| dc.description.abstractEN | In the following paper we are going to penetrate Market’s equilibrium by introducing the concept of Statistical Arbitrage. Persistent anomalies that exist in the economy and cannot be fully explained by equilibrium models will be put under the test of investment strategies that were designed to exploit circumstances like these. We will give the essence of Statistical Arbitrage, the theoretical base that constitutes it as well as the methodology that will be used for testing while the joint hypothesis dilemma is being bypassed without being invoked. Finally we will compare the abovementioned strategies concerning the statistical arbitrary level they produce. |
Files in this item
This item appears in the following Collection(s)
-
Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές