Sökning: "pairs trading"

Hittade 3 avhandlingar innehållade orden pairs trading.

  1. 1. Interacting particle systems in varying environment, stochastic domination in statistical mechanics and optimal pairs trading in finance

    Författare :Marcus M J Warfheimer; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Interacting particle systems; contact process; randomly evolving environment; spin systems; Ising model; fuzzy Potts model; pairs trading; optimal stopping; contact process;

    Sammanfattning : In this thesis we first consider the contact process in a randomly evolving environment, introduced by Erik Broman. This process is a generalization of the contact process where the recovery rate can vary between two values. The rate which it chooses is determined by a background process, which evolves independently at different sites. LÄS MER

  3. 2. Essays on the Scandinavian Stock Markets

    Författare :Jonas Söderberg; Ghazi Shukur; Carsten Tanggaard; Växjö universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Scandinavian stock markets; Liquidity; Market microstructure theory; Liquidity spillover; Vector autoregression analysis; Forecasting; Out-of-sample tests; Copulas; Risk management; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Sammanfattning : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. LÄS MER

  4. 3. Four essays on the econometric modelling of volatility and durations

    Författare :Cristina Amado; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : The thesis "Four Essays on the Econometric Modelling of Volatility and Durations" consists of four research papers in the area of financial econometrics on topics of the modelling of financial market volatility and the econometrics of ultra-high-frequency data. The aim of the thesis is to develop new econometric methods for modelling and hypothesis testing in these areas. LÄS MER