7 resultados para Landmark-based spectral clustering
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Dissertação para obtenção do Grau de Mestre em Engenharia Informática
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Dissertação para obtenção do Grau de Mestre em Logica Computicional
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Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies
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This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there are higher potential profits arising from emerging markets. However, the higher excess return will be partially offset by higher transaction costs, which will be a determinant factor to the profitability of pair trading strategies. Also, a new clustering approach based on the Principal Component Analysis was tested as an alternative to the more standard clustering by Industry Groups. The new clustering approach delivers promising results, consistently reducing volatility to a greater extent than the Industry Group approach, with no significant harm to the excess returns.
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Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica
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Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.
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Dissertation to Obtain Master Degree in Biomedical Engineering