Blar i NTNU Open på forfatter "Haugland, Daniel Vårdal"
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Spread Trading in Brent Crude Futures - A stochastic approach to intraday calendar spread trading
Haugland, Daniel Vårdal; Abelvik-Engmark, August (Master thesis, 2018)In this thesis, we propose an intradaily spread trading strategy based on a stochastic process model. We go on to examine whether this strategy can be profitably applied in Brent Crude oil futures markets over the Jan-2015 ...