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Dissertations / Theses on the topic 'Statistical arbitrage'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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1

Alsayed, Hamad. "Essays in statistical arbitrage." Thesis, University of Southampton, 2014. https://eprints.soton.ac.uk/366275/.

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This three-paper thesis explores the important relationship between arbitrage and price efficiency. Chapter 3 investigates the risk-bearing capacity of arbitrageurs under varying degrees and types of risk. A novel stochastic process is introduced to the literature that is capable of jointly capturing fundamental risk factors which are absent from extant specifications. Using stochastic optimal control theory, the degree to which arbitrageurs' investment behaviour is affected by aversion to these risks is analytically characterized, as well as conditions under which arbitrageurs cut losses, eff
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Vespasiano, Chiara. "Statistical arbitrage on commodities." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/6957/.

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Questa tesi è incentrata sull'analisi dell'arbitraggio statistico, strategia di trading che cerca di trarre profitto dalle fluttuazioni statistiche di prezzo di uno o più asset sulla base del loro valore atteso. In generale, si creano opportunità di arbitraggio statistico quando si riescono ad individuare delle componenti sistematiche nelle dinamiche dei prezzi di alcuni asset che si muovono con regolarità persistenti e prevalenti. Perturbazioni casuali della domanda e dell’offerta nei mercati possono causare divergenze nei prezzi, dando luogo a opportunità di intermarket spread, ossia simul
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3

Duyvené, de Wit Jean-Jacques. "Statistical arbitrage in South Africa." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/18603.

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Includes bibliographical references.<br>This study investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging Sharpe ratio of 2.1. When realistic transaction costs are factored in, the Sharpe ratio drops to 0.43.The results underline the theoretical profitability of statistical arbitrage as a trading strategy and highlight the importance of transaction costs in a real
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4

Masindi, Khuthadzo. "Statistical arbitrage in South African equity markets." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/13427.

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The dissertation implements a model driven statistical arbitrage strategy that uses the principal components from Principal Component Analysis as factors in a multi-factor stock model, to isolate the idiosyncratic component of returns, which is then modelled as an Ornstein Uhlenbeck process. The idiosyncratic process (referred to as the residual process) is estimated in discrete-time by an auto-regressive process with one lag (or AR(1) process). Trading signals are generated based on the level of the residual process. This strategy is then evaluated over historical data for the South African e
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5

Govender, Kieran. "Statistical arbitrage in South African financial markets." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/12241.

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Includes abstract.<br>Includes bibliographic references (leaves 34-35).<br>Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. The strategy is implemented with an algorithmic trading setup that models the spread in a state-space f
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Juhászová, Jana. "Statistical Arbitrage in Algorithmic Trading of US Bonds." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359481.

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This thesis deals with statistical arbitrage as a strategy applied in algorithmic trading of US Treasury bonds in the selected timeframe from 1980 until 2017. Our aim is to prove that a specific event on the treasury market, namely reopening of the bonds, constitutes an arbitrage opportunity that enables the investor to systematically yield extraordinary profits on the market. This thesis includes a theoretical introduction to algorithmic trading and statistical arbitrage. Based on this introduction we formulate hypotheses, which are then tested in the application part by constructing an algor
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7

Rudy, Jozef. "Four essays in statistical arbitrage in equity markets." Thesis, Liverpool John Moores University, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.546739.

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8

Park, Yonggi. "HJB Equation and Statistical Arbitrage applied to High Frequency Trading." Master's thesis, University of Central Florida, 2013. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5835.

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In this thesis we investigate some properties of market making and statistical arbitrage applied to High Frequency Trading (HFT). Using the Hamilton-Jacobi-Bellman(HJB) model developed by Guilbaud, Fabien and Pham, Huyen in 2012, we studied how market making works to obtain optimal strategy during limit order and market order. Also we develop the best investment strategy through Moving Average, Exponential Moving Average, Relative Strength Index, Sharpe Ratio.<br>M.S.<br>Masters<br>Mathematics<br>Sciences<br>Mathematical Science; Industrial Mathematics
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9

Burgess, Andrew Neil. "A computational methodology for modelling the dynamics of statistical arbitrage." Thesis, London Business School (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.311932.

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10

Loodh, Dennis, and Daniel Carlsson. "An Empirical Assessment of Statistical Arbitrage : A Cointegrated Pairs Trading Approach." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-254234.

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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. The results indicate market neutrality and that profitability of pairs trading is higher in prolonged periods of turbulence.
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11

Coimbra, Miguel Ferreira. "Factor analysis in the stock market - an application to statistical arbitrage." Master's thesis, NSBE - UNL, 2011. http://hdl.handle.net/10362/10067.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>Although being very profitable in the past years, the contrarian strategy, that tries to exploit the reversion of the stock prices after an overreaction of the new available information, had decline in the past years. To boost the profitability of that specific strategy, I tried to divide the assets of Eurostoxx 600 by some firm specific factors. The results of such improvement were not clear, since the new strategy beat the benchmark in some
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12

Daihes, Oron. "Essays on specification testing in time series with applications to statistical arbitrage." Thesis, University of Nottingham, 2012. http://eprints.nottingham.ac.uk/12462/.

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13

Cheng, Xixin, and 程細辛. "Mixture time series models and their applications in volatility estimation and statistical arbitrage trading." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40988053.

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Cheng, Xixin. "Mixture time series models and their applications in volatility estimation and statistical arbitrage trading." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B40988053.

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15

Ntsaluba, Kuselo Ntsika. "AI/Machine learning approach to identifying potential statistical arbitrage opportunities with FX and Bitcoin Markets." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31185.

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In this study, a methodology is presented where a hybrid system combining an evolutionary algorithm with artificial neural networks (ANNs) is designed to make weekly directional change forecasts on the USD by inferring a prediction using closing spot rates of three currency pairs: EUR/USD, GBP/USD and CHF/USD. The forecasts made by the genetically trained ANN are compared to those made by a new variation of the simple moving average (MA) trading strategy, tailored to the methodology, as well as a random model. The same process is then repeated for the three major cryptocurrencies namely: BTC/U
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16

Park, Seoungbyung. "Factor Based Statistical Arbitrage in the U.S. Equity Market with a Model Breakdown Detection Process." Thesis, Marquette University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10280168.

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<p> Many researchers have studied different strategies of statistical arbitrage to provide a steady stream of returns that are unrelated to the market condition. Among different strategies, factor-based mean reverting strategies have been popular and covered by many. This thesis aims to add value by evaluating the generalized pairs trading strategy and suggest enhancements to improve out-of-sample performance. The enhanced strategy generated the daily Sharpe ratio of 6.07% in the out-of-sample period from January 2013 through October 2016 with the correlation of -.03 versus S&amp;P 500. During
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17

Meki, Brian. "Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies." Thesis, University of the Western Cape, 2012. http://hdl.handle.net/11394/4348.

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>Magister Scientiae - MSc<br>Purpose:This research investigates the existence of long-term equilibrium relationships among the stock market indices of Brazil, Russia, India, China and South Africa (BRICS). It further investigates cointegrated stock pairs for possible implementation of statistical arbitrage trading techniques.Design:We utilize standard multivariate time series analysis procedures to inspect unit roots to assess stationarity of the series. Thereafter, cointegration is tested by the Johansen and Juselius (1990) procedure and the variables are interpreted by a Vector Error Correct
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18

Hlinšťák, David. "Construction of a Market-Neutral ETF Portfolio: A Relative-Value Based Approach." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-206126.

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The study describes how cointegration-based techniques can be employed in order to construct profitable trading strategies that exploit mispricing events between similar securities. Particularly, the Johansen Maximum Likelihood Estimation and the Kalman filter approaches are applied to the universe of 200 most liquid ETF stocks traded on NYSE and NASDAQ. The results show that the strategies are quite sensitive to transaction costs, but are still able to maintain profitability even after accounting for a conservative level of transaction costs. While the Kalman filter produces better results on
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19

Jurvelin, Olsson Mikael, and Andreas Hild. "Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test." Thesis, Uppsala universitet, Statistiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385484.

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This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. The cryptocurrencies included in the study are 14 cryptocurrencies with the highest market capitalization on April 24th 2019. One trading strategy has been applied on every portfolio following the 3-month and the 6-month methodology with thresho
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20

Migliorini, Tarik Laiter. "Modelos de arbitragem estatística: um estudo empírico no mercado brasileiro de ações." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-12082013-193753/.

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Este trabalho tem como intuito aplicar quatro estratégias de arbitragem estatística ao mercado acionário brasileiro no período compreendido entre 2004 e 2012. A primeira delas explora o fenômeno de momentum e tem como referência Jegadeesh e Titman (1993). A segunda trata de replicação de benchmarks utilizando técnicas de cointegração e foi baseada parcialmente em Alexander e Dimitriu (2002). A terceira é uma estratégia do tipo pair trade e tem referência em Gatev et al (2006). A última é uma estratégia de reversão de preços relativos de uma cesta de ações utilizando a abordagem de componentes
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21

Soto, Paula Andrea. "Arbitragem estatística no mercado brasileiro de ações: uma abordagem por VECM." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16990.

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Submitted by Paula Andrea Soto (paulaandreasoto@hotmail.com) on 2016-09-05T12:30:23Z No. of bitstreams: 1 Paula Andrea Soto Dissertacao.pdf: 4060630 bytes, checksum: a38f57b1ee13eb3c036f96d824c204fe (MD5)<br>Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-09-05T18:26:52Z (GMT) No. of bitstreams: 1 Paula Andrea Soto Dissertacao.pdf: 4060630 bytes, checksum: a38f57b1ee13eb3c036f96d824c204fe (MD5)<br>Made available in DSpace on 2016-09-05T18:28:40Z (GMT). No. of bitstreams: 1 Paula Andrea Soto Dissertacao.pdf: 4060630 bytes, checksum: a38f57b1ee13eb
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Yang, Alice. "Cointegração entre séries de preços no mercado acionário brasileiro." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8561.

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Submitted by Alice Yang (yanglice@hotmail.com) on 2011-08-31T16:16:13Z No. of bitstreams: 1 Dissertação Versão Final - Alice Yang (Ago11).pdf: 213202 bytes, checksum: aafd91fefc95482e8137d9185fc59857 (MD5)<br>Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-31T19:16:56Z (GMT) No. of bitstreams: 1 Dissertação Versão Final - Alice Yang (Ago11).pdf: 213202 bytes, checksum: aafd91fefc95482e8137d9185fc59857 (MD5)<br>Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-31T19:17:18Z (GMT) No. of bitstreams: 1
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Ladrón, de Guevara Cortés Rogelio. "Techniques For Estimating the Generative Multifactor Model of Returns in a Statistical Approach to the Arbitrage Pricing Theory. Evidence from the Mexican Stock Exchange." Doctoral thesis, Universitat de Barcelona, 2016. http://hdl.handle.net/10803/386545.

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This dissertation focuses on the estimation of the generative multifactor model of returns on equities, under a statistical approach of the Arbitrage Pricing Theory (APT), in the context of the Mexican Stock Exchange. Therefore, this research takes as frameworks two main issues: (i) the multifactor asset pricing models, specially the statistical risk factors approach, and (ii) the dimension reduction or feature extraction techniques: Principal Component Analysis, Factor Analysis, Independent Component Analysis and Non-linear Principal Component Analysis, utilized to extract the underlying syst
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Cruz, Jerckns Affonso. "Aplicando estratégias simultâneas de momento e valor no mercado brasileiro." reponame:Repositório Institucional do FGV, 2009. http://hdl.handle.net/10438/4145.

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Submitted by Jerckns Cruz (jerckns@hotmail.com) on 2009-12-11T03:37:02Z No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5)<br>Approved for entry into archive by Gisele Gammaro(gisele.gammaro@fgv.br) on 2009-12-14T15:03:00Z (GMT) No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5)<br>Made available in DSpace on 2009-12-14T15:03:09Z (GMT). No. of bitstreams: 1 tese_Jerckns Cruz.pdf: 208471 bytes, checksum: 6be3209c95745116ae6d8db9f6c2ea1b (MD5)<br>The theory of Behavioral Finance em
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Kharrat, Tarak. "A journey across football modelling with application to algorithmic trading." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/a-journey-across-football-modelling-with-application-to-algorithmic-trading(e57619b6-8f41-4cdb-878f-4f0c23f7e165).html.

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In this thesis we study the problem of forecasting the final score of a football match before the game kicks off (pre-match) and show how the derived models can be used to make profit in an algorithmic trading (betting) strategy. The thesis consists of two main parts. The first part discusses the database and a new class of counting processes. The second part describes the football forecasting models. The data part discusses the details of the design, specification and data collection of a comprehensive database containing extensive information on match results and events, players' skills and
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26

Murphy, Nicholas John. "An online learning algorithm for technical trading." Master's thesis, Faculty of Science, 2019. http://hdl.handle.net/11427/31048.

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We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of technical trading strategies that can survive historical back-testing as well as form an overall aggregated portfolio trading strategy from the set of underlying trading strategies implemented on daily and intraday Johannesburg Stock Exchange data. The resulting population time-series are investigated using unsupervised learning for dimensionality reduction
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27

Branco, Francisco Barros e. Carvalhosa de Castelo. "Pairs trading performance and implications applied to the portuguese market." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10835.

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Mestrado em Finanças<br>Pairs Trading é uma estratégia de arbitragem estatística que ganhou popularidade em Wall Street, em meados da década de 1980. Tal conceito é realmente muito simples de entender: seleccionar dois activos que tiveram um comportamento passado semelhante e quando esse caminho é perturbado, assumir uma posição de longa / curta na esperança de que no futuro, a história se repita. Assim, o principal objectivo desta trabalho final de mestrado é o de explorar e analisar a efectividade da implementação de tal estratégia no mercado de acções Português durante o período compreendid
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28

Maldini, Riccardo. "Pairs Trading - Progettazione, sviluppo e ottimizzazione di un modello di investimento basato sul Machine Learning." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021.

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Il Pairs Trading è una popolare strategia di investimento quantitativa, che rientra nella famiglia dell'arbitraggio statistico. La strategia è ampiamente utilizzata dai fondi d'investimento, essendo in grado di estrarre del profitto indipendentemente dalle condizioni di mercato: sia in caso di trend positivi, che negativi. Negli ultimi anni, a causa della crescente disponibilità di dati e dell'aumento dell'efficienza dei mercati, sta diventando sempre più difficile estrarre coppie di titoli profittevoli, utilizzando strategie di investimento basate su regole di Pairs Trading tradizionali. I
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Novák, Vlastimil. "Statistické charakteristiky obchodních dat finančního trhu." Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2012. http://www.nusl.cz/ntk/nusl-236466.

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The object of master's thesis is to introduce to the financial derivatives and principals of trading on financial markets. We describe the methods used to search for arbitrage opportunities through statistical indicators and statistical characteristics, which are an integral part of the automatized trading systems. Analysis of the financial market is based on data derived from the interbank market.
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Pucciarelli, Amilcar José. "Estratégia de cointegração dinâmica empírica para arbitragem estatística e trading." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11982.

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Submitted by Amilcar Pucciarelli (ajpucciarelli@yahoo.com.br) on 2014-08-29T00:17:12Z No. of bitstreams: 1 dissertacao_AmilcarPucciarelli_versaofinal.pdf: 6274780 bytes, checksum: d14d1de7c261c9d51502427d9ea61ad5 (MD5)<br>Rejected by JOANA MARTORINI (joana.martorini@fgv.br), reason: Almicar, esta frase "Este trabalho é dedicado aos professores que me ajudaram neste caminho" deverá estar no final da pagina. on 2014-08-29T15:04:45Z (GMT)<br>Submitted by Amilcar Pucciarelli (ajpucciarelli@yahoo.com.br) on 2014-08-30T00:25:06Z No. of bitstreams: 1 dissertacao_AmilcarPucciarelli_versaofinal.
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Fereres, Yohan. "Stratégies d’arbitrage systématique multi-classes d'actifs et utilisation de données hétérogènes." Thesis, Paris Est, 2013. http://www.theses.fr/2013PEST0075/document.

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Les marchés financiers évoluent plus ou moins rapidement et fortement au gré des différents types d’information diffusés au cours des périodes d’étude. Dans ce contexte, nous cherchons à mesurer l’influence de tous types d’information sur des portefeuilles d’arbitrage systématique « euro neutres » multi-classes d’actifs, issus soit d’une diversification « naïve » (« 1/N ») soit d’une diversification optimale. Dans le cadre de nos recherches sur l’allocation tactique systématique, ces divers flux informationnels sont regroupés sous le terme de données hétérogènes (données de cotation et « autre
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Oliveira, Adriano Gonçalves de. "Análise do efeito de crises sobre estratégias de pairs trading no Brasil." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18746.

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Submitted by Adriano Gonçalves de Oliveira (adrianogoliveira@gmail.com) on 2017-09-02T12:29:54Z No. of bitstreams: 1 Tese Final - Adriano G. Oliveira .pdf: 1859152 bytes, checksum: f557a351de600a896fc60822cd90e875 (MD5)<br>Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-09-05T19:52:22Z (GMT) No. of bitstreams: 1 Tese Final - Adriano G. Oliveira .pdf: 1859152 bytes, checksum: f557a351de600a896fc60822cd90e875 (MD5)<br>Made available in DSpace on 2017-09-06T19:29:22Z (GMT). No. of bitstreams: 1 Tese Final - Adriano G. Oliveira .pdf: 1859152 bytes, check
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Sousa, Fabio Tirolli. "Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16988.

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Submitted by Fabio Tirolli de Sousa (fabio.tirolli@gmail.com) on 2016-09-02T18:26:37Z No. of bitstreams: 1 Estratégia de arbitragem estatística da variância implícita versus realizada por meio da replicação dinâmica do swap de variância no mercado de ações brasileiro.pdf: 1514163 bytes, checksum: cc43a0b3c95a6cd7176653b05d122953 (MD5)<br>Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Fabio, boa tarde Por gentileza, nas páginas que constam seu nome, deve estar completo. Referente ao título, houve solicitação de alteração? Pois em ata e no protocolo o tí
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Langer, Roman. "Statistická analýza vysokofrekvenčních časových řad finančních trhů." Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2011. http://www.nusl.cz/ntk/nusl-237000.

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The goal of this Master's thesis is to analyze financial data by focusing primarily on the search of market inefficiencies that may lead to capitalization of found anomalies. The data comes from various sources and they need to be preprocessed. The analysis is based on high frequency time series statistical methods. The resultant characteristics are visualized.
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Caldas, Bruno Breyer. "Ensaios em macrofinanças e economia regional." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2016. http://hdl.handle.net/10183/147394.

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Esta tese é composta por três ensaios relacionados a macrofinanças e economia regional. O primeiro artigo analisa a lucratividade de portfólios de pairs trading auto-financiados para os mercados acionários Brasileiro, Europeu e Americano utilizando duas metodologias diferentes de seleção de pares: os métodos da distância e cointegração. Uma comparação ampla das metodologias de pairs trading, com uma base de dados grande de diferentes mercados é capaz de elucidar os principais benefícios e fragilidades de cada método. De modo geral, os resultados mostram que diferentes estruturas de mercado fav
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Silva, Fernando Augusto Boeira Sabino da. "Ensaios em cópulas e finanças empíricas." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2017. http://hdl.handle.net/10183/172478.

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Nesta tese discutimos abordagens que utilizam cópulas para descrever dependências entre instrumentos nanceiros e avaliamos a performance destes métodos. Muitas crises nanceiras aconteceram desde o nal da década de 90, incluindo a crise asiática (1997), a crise da dívida da Rússia (1998), a crise da bolha da internet (2000), as crises após o 9/11 (2001) e a guerra do Iraque (2003), a crise do subprime or crise nanceira global (2007-08), e a crise da dívida soberana europeia (2009). Todas estas crises levaram a uma perda maciça de riqueza nanceira e a um aumento da volatilidade observada, e enfa
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Nunes, Gustavo de Faro Colen. "Modelo da dinâmica de um livro de ordens para aplicações em high-frequency trading." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10570.

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Submitted by Gustavo de Faro Colen Nunes (gustavocolennunes@gmail.com) on 2013-02-28T19:45:35Z No. of bitstreams: 1 MODELO DA DINÂMICA DE UM LIVRO DE ORDENS PARA APLICAÇÕES EM HIGH-FREQUENCY TRADING.pdf: 1769569 bytes, checksum: fcb41165f230caf02656cf7b8a709951 (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-28T21:30:40Z (GMT) No. of bitstreams: 1 MODELO DA DINÂMICA DE UM LIVRO DE ORDENS PARA APLICAÇÕES EM HIGH-FREQUENCY TRADING.pdf: 1769569 bytes, checksum: fcb41165f230caf02656cf7b8a709951 (MD5)<br>Made available in DSpace on 2013-
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Brito, Sheyla Cristina dos Santos. "Comportamento de pares de ações no mercado brasileiro sob a ótica da cointegração, para preços intra-diários." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8614.

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Submitted by Sheyla Brito (sheyla.brito@yahoo.com) on 2011-09-16T18:06:27Z No. of bitstreams: 1 Dissertacao_Sheyla-Brito_versao-final_2011-09-14.pdf: 915893 bytes, checksum: 7ca99cceea168506d411ad4b2864c968 (MD5)<br>Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Prezada Sheyla, A ficha catalográfica falta o número CDU favor, solicitar na biblioteca. Atenciosamente, Secretaria de Registro, Suzi on 2011-09-16T18:56:44Z (GMT)<br>Submitted by Sheyla Brito (sheyla.brito@yahoo.com) on 2011-09-19T15:05:46Z No. of bitstreams: 1 Dissertacao_Sheyla-Brito_versao-fina
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39

Schall, Robert. "Outliers and influence under arbitrary variance." Doctoral thesis, University of Cape Town, 1986. http://hdl.handle.net/11427/21913.

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Using a geometric approach to best linear unbiased estimation in the general linear model, the additional sum of squares principle, used to generate decompositions, can be generalized allowing for an efficient treatment of augmented linear models. The notion of the admissibility of a new variable is useful in augmenting models. Best linear unbiased estimation and tests of hypotheses can be performed through transformations and reparametrizations of the general linear model. The theory of outliers and influential observations can be generalized so as to be applicable for the general univariate
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40

Altunkilic, Fikret. "Transmission through an arbitrary aperture in an arbitrary three-dimensional conducting surface enclosing chiral material." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available, full text:, 2007. http://wwwlib.umi.com/cr/syr/main.

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41

CHAU, NGOC HUY. "A Study Of Arbitrage Opportunities In Financial Markets Without Martingale Measures." Doctoral thesis, Università degli studi di Padova, 2016. http://hdl.handle.net/11577/3424250.

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This Ph.D. thesis consists of four dependent chapters and is devoted to a systematic study of arbitrage opportunities, with particular attention to general and incomplete market models with cadlag semimartingales. In Chapter 1, we state our motivation, and then briefly review the theory of no arbitrage, and the previous studies of arbitrage opportunities in the literature. We introduce a general framework, which will be used throughout this dissertation. We discuss no-arbitrage conditions, utility optimization problems and recall results from the literature. Finally, we state three resear
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42

Morlanes, José Igor. "Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications." Doctoral thesis, Stockholms universitet, Statistiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-147437.

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This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion. New results obtained by the author are presented in five articles. These are divided into two parts. The first part involves three articles on statistical inference and simulation of a family of processes related to fractional Brownian motion and Ornstein-Uhlenbeck process, the so-called fractional Ornstein-Uhlenbeck process of the second kind
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Börger, Reik H. "Energy-related commodity futures - statistics, models and derivatives." [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-60248.

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44

Lemdiasov, Rostislav A. "A general purpose computational approach to the design of gradient coils for arbitrary geometries." Worcester, Mass. : Worcester Polytechnic Institute, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-09214-155502/.

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45

Ye, Hui, and Anastasia Ellanskaya. "Arbitrage-free market models for interest rate options and future options: the multi-strike case." Thesis, Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-6220.

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This work mainly studies modeling and existence issues for martingale models of option markets with one stock and a collection of European call options for one fixed maturity and infinetely many strikes. In particular, we study Dupire's and Schweizer-Wissel's models, especially the latter one. These two types of models have two completely different pricing approachs, one of which is martingale approach (in Dupire's model), and other one is a market approach (in Schweizer-Wissel's model). After arguing that Dupire's model suffers from the several lacks comparing to Schweizer-Wissel's model, we
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46

Bazeille, Thomas. "Template estimation for arbitrary alignments : application to brain imaging." Electronic Thesis or Diss., université Paris-Saclay, 2021. http://www.theses.fr/2021UPASG071.

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Un objectif important des neurosciences cognitives est de comprendre l’organisation fonctionnelle du cerveau. Pour cela, elles s’appuient sur l’Imagerie par Résonance Magnétique fonctionnelle (IRMf), un outil puissant pour étudier le lien entre les fonctions cérébrales et les structures anatomiques sous-jacentes à une haute résolution spatiale. La variabilité fonctionnelle interindividuelle est un obstacle majeur qui limite la précision de la cartographie fonctionnelle du cerveau et la généralisation des résultats obtenus par les études d’imagerie cérébrale. Cette variabilité importante, obser
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Armerin, Fredrik. "Aspects of cash flow valuation /." Doctoral thesis, Stockholm, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-76.

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Qvennerstedt, Eric, and William Svensson. "Pairs trading on the Swedish equity market; Cointegrate and Capitalize." Thesis, Uppsala universitet, Statistiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-353020.

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This thesis investigates the long- and short- run stability of Cointegrated dual share equity pairs on the Swedish Equity Market. Testing for a cointegrated relationship on each pair are executed for a 13 year period to establish the cointegrated pairs. The stability of each cointegrated pair is then estimated using a rolling two year period. An Arbitrage Trading strategy is applied to the cointegrated pairs for the following one year period. The long-run relationship of the pairs are found to be stable. The short-term relationship varies from pair to pair, where some pairs break their cointeg
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Öhman, Adam. "The Calibrated SSVI Method - Implied Volatility Surface Construction." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-257501.

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In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. These theorems came from Roper in \cite{Roper2010}. Based on these where then two applicable arbitrage tests created. These tests came to be very important tools in the remaining thesis.The most reasonable classes of models for modeling the implied volatility surface where
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BURZONI, MATTEO. "A MODEL-FREE ANALYSIS OF DISCRETE TIME FINANCIAL MARKETS." Doctoral thesis, Università degli Studi di Milano, 2015. http://hdl.handle.net/2434/337059.

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We discuss fundamental questions of Mathematical Finance such as arbitrage and hedging in the context of a discrete time market with no reference probability. We show how different notions of arbitrage can be studied under the same general framework by specifying a class S of significant sets, and we investigate the richness of the family of martingale measures in relation to the choice of S. We also provide a superhedging duality theorem. We show that the initial cost of the cheapest portfolio that dominates a contingent claim on every possible path, might be strictly greater than the upper b
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