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About A New Statistical Arbitrage Model Based On Financial Information - Realised by R Language in LSE Especially For Banking Industry
This dissertation develops a new statistical arbitrage model combining co-integration, peer group analysis, and technical indicators. The model is tested on one year of banking stock data from the London Stock Exchange. Using p-values to identify signals and an indicator to add conditions provided the best profit of 31.64% annually without fees. Combining technical analysis with statistical arbitrage had a positive result. The dissertation aims to optimize existing statistical arbitrage models for the banking industry on the LSE.
Detailed Information
| Author: | ['SEETHAL'] |
|---|---|
| Publication Year: | 2022 |
| Pages: | 78 |
| Language: | English |
| Format: | |
| Price: | FREE |
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