Giulio Gatti

University of Trento - Department of Economics and Management

Via Inama 5

Trento, I-38100

Italy

SCHOLARLY PAPERS

1

DOWNLOADS
Rank 32,834

SSRN RANKINGS

Top 32,834

in Total Papers Downloads

1,808

SSRN CITATIONS

0

CROSSREF CITATIONS

0

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 1,808 (11,221)

Abstract:

Loading...

Pairs trading, Gaussian mixture, Hidden Markov Model, Cointegration