Illustrates an example of Co-integration
Illustrates an example of Co-integration?
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Assume you have two stocks S1 and S2 and you get that S1 − 3 S2 is stationary; therefore this combination never strays more far from its mean. When one day it ‘spread’ is mainly large then you would have sound statistical reasons for thinking as spread might shortly decrease, giving you a possible source of statistical arbitrage profit. It can be the basis for pairs trading.
How is Sharpe ratio slope of the risk-free investment?
Explain valid criticisms of Value at Risk.
Explain the programme of study of Monte Carlo method.
Describe balance of payments identity and explain its implication under the fixed & flexible exchange rate regimes.The balance of payments identity holds that the combined balance on the current & capital accounts have to be equivalent i
Are there some legal factors that might limit a corporation in its effort to pay cash dividends to common stockholders?
What is Black–Scholes equation? Explain.
Illustrates an example of Option Adjusted Spread. Answer: Analyses by using Option Adjusted Spreads are common within Mortgage-Backed Securities (MBS).
What is a Wiener Process/Brownian Motion?
How are diversifiable risk and undiversifiable risk associated with portfolio?
You need to price a European, non-path-dependent contract upon a basket of equities. Which numerical method should you use?
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