Browsing NTNU Open by Author "Reiakvam, Oddvar Hallset"
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Pairs Trading in the Aluminum Market: A Cointegration Approach
Reiakvam, Oddvar Hallset; Thyness, Stian Borgen (Master thesis, 2011)This paper applies various ways of constructing statistical arbitrage trading rules for aluminum securities. The paper use daily observations of stocks, futures and two securities supposed to mirror the return of physical ...