Seminario di finanza matematica
ore
17:30
presso Aula Seminario VIII piano
We review some statistical arbitrage strategies applied to stock
markets and investigate their use for trading in commodity markets.
A general methodology to develop a statistical arbitrage trading strategy
is devised. Cointegration techniques are used to find a long run
relationship among commodities and build a portfolio whose value is
represented by the deviation from this long run equilibrium. We then
verify that the portfolio dynamics contain some predictable components
and test trading rules that rely on these predictability properties
of the portfolio process. Finally, several profit indicators are proposed
in order to measure the performance of the strategy.