Date of Award
12-2017
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Abstract
This paper is the replication of Alizadeh and Nomikos (2008) Performance of Statistical Arbitrage in Petroleum Futures Markets. Cited methodology from the original paper, this paper investigates the linkages between commodities in the future markets and apply trading strategy based on statistical analysis. The trading strategy is established based on cointegration relationships between commodities and execute trading rules to determine long-short positions. The robustness of trading result will be implemented by using stationary bootstrap approach. From the result, we can see the trading strategy based on cointegration relationship analysis is efficient to set up trading strategies in given datasets.
Recommended Citation
Sheng, Shijie, "Performance of Statistical Arbitrage in Future Markets" (2017). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 1147.
https://digitalcommons.usu.edu/gradreports/1147
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