Date of Award
Master of Science (MS)
Economics and Finance
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.
Sheng, Shijie, "Performance of Statistical Arbitrage in Future Markets" (2017). All Graduate Plan B and other Reports. 1147.
Copyright for this work is retained by the student. If you have any questions regarding the inclusion of this work in the Digital Commons, please email us at .