Results 1 to 10 of about 52,094 (149)
Statistical Arbitrage for Multiple Co-integrated Stocks. [PDF]
Appl Math Optim, 2022 In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors. Optimal portfolio weights are found by solving a Hamilton-Jacobi-Bellman (HJB) partial differential equation, which we solve for both an unconstrained portfolio and ...
Li TN, Papanicolaou A.
europepmc +5 more sources
Statistical Arbitrage Mining for Display Advertising [PDF]
Proceedings of the 21th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining, 2015 We study and formulate arbitrage in display advertising. Real-Time Bidding (RTB) mimics stock spot exchanges and utilises computers to algorithmically buy display ads per impression via a real-time auction.
Amin K. +8 more
core +2 more sources
Deep Learning Statistical Arbitrage [PDF]
Management Science, 2021 Statistical arbitrage exploits temporal price differences between similar assets. We develop a comprehensive conceptual framework for statistical arbitrage and a novel data-driven solution. First, we construct arbitrage portfolios of similar assets as residual portfolios from conditional latent asset pricing factors.
Jorge Guijarro-Ordonez +2 more
openaire +2 more sources
Relativistic statistical arbitrage [PDF]
Physical Review E, 2010 Recent advances in high-frequency financial trading have made light propagation delays between geographically separated exchanges relevant. Here we show that there exist optimal locations from which to coordinate the statistical arbitrage of pairs of spacelike separated securities, and calculate a representative map of such locations on Earth ...
Wissner-Gross, Alexander +1 more
openaire +3 more sources
Statistical Arbitrage in Cryptocurrency Markets [PDF]
Journal of Risk and Financial Management, 2019 Machine learning research has gained momentum—also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013); Moritz and Zimmermann (2014); Krauss et al. (2017).
Fischer, Thomas Günter +2 more
openaire +2 more sources
Statistical arbitrage: factor investing approach
OR Spectrum, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Erdinc Akyildirim +4 more
openaire +5 more sources
Statistical arbitrage in the US equities market [PDF]
Quantitative Finance, 2008 We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or regressing stock returns on sector Exchange Traded Funds (ETFs). In both cases, the idiosyncratic returns are modelled as mean-reverting processes, which leads naturally to ‘contrarian’ strategies.
Marco Avellaneda, Jeong-Hyun Lee
openaire +1 more source
Stochastic arbitrage return and its implications for option pricing [PDF]
, 2004 The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic ...
Fedotov, Sergei, Panayides, Stephanos
core +3 more sources
Parameter estimation of electricity spot models from futures prices [PDF]
, 2009 We consider a slight perturbation of the Schwartz-Smith model for the electricity futures prices and the resulting modified spot model. Using the martingale property of the modified price under the risk neutral measure, we derive the arbitrage free model
Aihara, S. +2 more
core +3 more sources
Genetic Programming in Statistical Arbitrage [PDF]
, 2008 This paper employs genetic programming to discover statistical arbitrage strategies on the banking sector in the Euro Stoxx universe. Binary decision rules are evolved using two different representations. The first is the classical single tree approach, while the second is a dual tree structure where evaluation is contingent on the current market ...
Philip Saks, Dietmar Maringer
openaire +1 more source