Essays about: "Statistical Arbitrage"

Showing result 6 - 10 of 21 essays containing the words Statistical Arbitrage.

1. 6. Algorithmic Trading in CDS and Equity Indices Using Statistical Arbitrage

   University essay from Lunds universitet/Matematisk statistik

   Author : Melker Samuelsson; Tobias Ek; [2017]
   Keywords : Algorithmic Trading; CDS indices; Equity futures; Markov Regime Switch ing Models; Cointegration; Mathematics and Statistics;

   Abstract : Historical data shows a strong relationship between hourly changes in CDS index iTraxx Main and equity futures EURO STOXX 50. We hypothesize that the relatively stable relationship should allow us to trade the two markets. READ MORE

3. 7. The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jianbo Wang; Jianyang Fang; [2017]
   Keywords : statistical arbitrage; Ornstein-Uhlenbeck model; GARCH model; Business and Economics;

   Abstract : Statistical arbitrage is widely used in the quantitative based trading strategies. In this paper, we mainly use Ornstein-Uhlenbeck (O-U) process model and the GARCH model to estimate the parameters and verify trading signals for the statistical arbitrage. In addition, a new model is created through the combination of O-U model and GARCH model. READ MORE

4. 8. Statistical Arbitrage & Fund Performance: An Empirical Analysis of Fund Returns

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Magnus Berg; Christoffer Knutsson; [2017]
   Keywords : Statistical Arbitrage; Fund Performance; Net Returns; Business and Economics;

   Abstract : Fund companies and banks argue that letting them manage one’s money is a wise decision. They argue that they are able to create substantial growth in value for the investor without requiring any other input than a small fee and an amount to be invested. This essay tests this claim in a two folded analysis. READ MORE

5. 9. Effects of derivative use on firm value: Evidence from Nordic financial firms

   University essay from Umeå universitet/Företagsekonomi

   Author : Basazinew Tefera; [2017]
   Keywords : Risk management; Hedging; Derivatives; Derivatives use; Firm value;

   Abstract : Abstract Financial firms are carrying more risks than non-financial firms as they are operating with highly liquid assets. Use of derivatives is one of hedging techniques used in protecting firms from such kind of risks. There has been considerable discussion in academia of whether or not derivative usage can be considered to be value relevant. READ MORE

6. 10. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation

   University essay from Lunds universitet/Matematisk statistik

   Author : Mattias Jönsson; Ulrica Såmark; [2016]
   Keywords : Multi Curve; Volatility Transformation; Negative Rates; shifted SABR; non-standard Tenor; Caps; EUR Market; Mathematics and Statistics;

   Abstract : The SABR model has for a long time been an invaluable tool for capturing the volatility smile and to price nancial derivatives not quoted in the market. However, the current negative rate environment in the EUR market has led to numerous challenges for nancial institutions. READ MORE