no code implementations • 2 Sep 2023 • Viviana Fanelli, Claudio Fontana, Francesco Rotondi
In this work, we study statistical arbitrage strategies in international crude oil futures markets.
no code implementations • 22 Aug 2022 • Claudio Fontana, Francesco Rotondi
Adopting a Hull-White interest rate model, correlated with the equity fund, we propose an efficient tree-based algorithm.