Roberta De Luca

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

896

TOTAL CITATIONS

5

Scholarly Papers (3)

1.

Pairs Trading In The index Options Market

CEIS Working Paper No. 512
Number of pages: 43 Posted: 02 Sep 2021
Marianna Brunetti and Roberta De Luca
Dept. Economics and Finance, University of Rome Tor Vergata and Bank of Italy
Downloads 399 (153,343)
Citation 1

Abstract:

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pairs trading, option market efficiency

2.

Pre-selection in Cointegration-based Pairs Trading

CEIS Working Paper No. 500
Number of pages: 31 Posted: 30 Jun 2020 Last Revised: 11 Mar 2021
Marianna Brunetti and Roberta De Luca
Dept. Economics and Finance, University of Rome Tor Vergata and Bank of Italy
Downloads 275 (228,905)
Citation 4

Abstract:

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pairs trading, pre-selection, cointegration, profitability

3.

Sensitivity of Profitability in Cointegration-Based Pairs Trading

CEIS Working Paper No. 540
Number of pages: 64 Posted: 14 Apr 2022
Marianna Brunetti and Roberta De Luca
Dept. Economics and Finance, University of Rome Tor Vergata and Bank of Italy
Downloads 222 (282,956)

Abstract:

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pairs trading, sensitivity analysis, formation period