Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio. [PDF]
PLoS ONE, 2021 In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a factor model.
An-Sing Chen, Che-Ming Yang
doaj +2 more sources
Arbitrage Equilibrium, Invariance, and the Emergence of Spontaneous Order in the Dynamics of Bird-like Agents [PDF]
Entropy, 2023 The physics of active biological matter, such as bacterial colonies and bird flocks, exhibiting interesting self-organizing dynamical behavior has gained considerable importance in recent years.
Abhishek Sivaram +1 more
doaj +2 more sources
Excess profit relative to the benchmark asset under the α-confidence level
AIMS Mathematics, 2023 We introduce a generalized concept of arbitrage, excess profit relative to the benchmark asset under $ \alpha $-confidence level, $ \alpha $-REP, in a single-period market model with proportional transaction costs.
Dong Ma +3 more
doaj +1 more source
Grid-Scale Battery Energy Storage for Arbitrage Purposes: A Colombian Case
Batteries, 2021 This study seeks to determine a suitable arbitrage strategy that allows a battery energy storage system (BESS) owner to obtain the maximum economic benefits when participating in the Colombian electricity market.
Andrés F. Peñaranda +2 more
doaj +1 more source
Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage
IEEE Access, 2021 In recent years, machine learning algorithms have been successfully employed to leverage the potential of identifying hidden patterns of financial market behavior and, consequently, have become a land of opportunities for financial applications such as ...
Salvatore M. Carta +4 more
doaj +1 more source
An innovative high-frequency statistical arbitrage in Chinese futures market
Journal of Innovation & Knowledge, 2023 The primary use of futures is hedging risk. Traders in the spot market can hedge certain risks through the futures market. With the development of the futures market, the arbitrage transactions around futures have attracted increasingly attention.
Chengying He +3 more
doaj +1 more source
Can You Hear the Shape of a Market? Geometric Arbitrage and Spectral Theory
Axioms, 2021 Utilizing gauge symmetries, the Geometric Arbitrage Theory reformulates any asset model, allowing for arbitrage by means of a stochastic principal fibre bundle with a connection whose curvature measures the “instantaneous arbitrage capability”.
Simone Farinelli, Hideyuki Takada
doaj +1 more source
Quantum computational quantitative trading: high-frequency statistical arbitrage algorithm
New Journal of Physics, 2022 Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet.
Xi-Ning Zhuang +3 more
doaj +1 more source
Application of Stochastics Dominance via Quantile Regression in Analysis of Arbitrage Opportunities Market Efficiency and Investors Preferences [PDF]
تحقیقات مالی, 2021 Objective: The stochastic dominance theory has extensively employed in various financial fields because it is not necessary to assume a specific distribution of returns, such as normal distribution.
Moslem Peymany Foroushany +2 more
doaj +1 more source
Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
doaj +1 more source