Year of Graduation
Influence of Liquidity on the Effectiveness of Cross-Arbitrage Strategy
This diploma work on the topic “Influence of Liquidity on the Effectiveness of Cross-Arbitrage Strategy” studies the effectiveness of statistical arbitrage strategy and its relationship with liquidity of financial instruments.The work has introduction, three chapters and conclusion. The introduction presents the relevance of the paper. First chapter contains review of the literature. Second chapter describes the process of statistical arbitrage strategy development and details of back-testing. Third chapter introduces the analysis of liquidity’s influence on statistical arbitrage effectiveness and reports on the results. The conclusion figures out key ideas of the work paper.Empirical results of this work have a good practical applicability for developers of algorithmic strategies for financial markets. The work contains 44 pages, 11 diagrams and tables, 6 source code listings. List of references contains 19 sources.