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Statistická arbitráž při algoritmickém obchodování amerických dluhopisů
 Juhászová, Jana ; Stádník, Bohumil (advisor) ; Janda, Karel (referee)
This thesis deals with statistical arbitrage as a strategy applied in algorithmic trading of US Treasury bonds in the selected timeframe from 1980 until 2017. Our aim is to prove that a specific event on the treasury market, namely reopening of the bonds, constitutes an arbitrage opportunity that enables the investor to systematically yield extraordinary profits on the market. This thesis includes a theoretical introduction to algorithmic trading and statistical arbitrage. Based on this introduction we formulate hypotheses, which are then tested in the application part by constructing an algorithm that simulates a trading strategy on historical data. Comparing three strategies we determined that this strategy is meaningful, or performs better than a random walk and that it is profitable.
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