Giulio Gatti

University of Trento - Department of Economics and Management

Via Inama 5

Trento, I-38100

Italy

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Ideas:
“  systematic asset allocation, risk parity, CTAs, and private market investments  ”

Scholarly Papers (1)

1.

An Improved Pairs Trading Strategy Based on Switching Regime Volatility

Number of pages: 25 Posted: 27 Jul 2015
Marco Bee and Giulio Gatti
University of Trento - Department of Economics and Management and University of Trento - Department of Economics and Management
Downloads 1,926 (12,035)

Abstract:

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Pairs trading, Gaussian mixture, Hidden Markov Model, Cointegration