Results 181 to 190 of about 52,168 (223)
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The Statistics of Statistical Arbitrage
Financial Analysts Journal, 2007Hedge funds sometimes use mathematical techniques to “capture” the short-term volatility of stocks and perhaps other types of securities. This sort of strategy resembles market making and is sometimes considered a form of statistical arbitrage. This study shows that for the universe of large-capitalization U.S.
Robert Fernholz, Cary Maguire
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Robust statistical arbitrage strategies
Quantitative Finance, 2019We investigate statistical arbitrage strategies when there is ambiguity about the underlying time-discrete financial model. Pricing measures are assumed to be martingale measures calibrated to prices of liquidly traded options, whereas the set of admissible physical measures is not necessarily implied from market data.
Eva Lütkebohmert, Julian Sester
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Indexing and Statistical Arbitrage
The Journal of Portfolio Management, 2005There are two basic methodologies for portfolio optimization: tracking error variance (TEV) minimization (the industry standard for indexing), and a cointegration–optimal strategy (advocated by econometricians). Cointegration is a statistical tool that seeks to exploit a long–run equilibrium relationship between a portfolio and a benchmark, ensuring ...
Carol Alexander, Anca Dimitriu
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Statistical arbitrage and risk contagion
Journal of Economic Dynamics and Control, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xing Gao, Daniel Ladley
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Statistical Arbitrage with Pairs Trading
SSRN Electronic Journal, 2015AbstractWe analyze statistical arbitrage with pairs trading assuming that the spread of two assets follows a mean‐reverting Ornstein–Uhlenbeck process around a long‐term equilibrium level. Within this framework, we prove the existence of statistical arbitrage and derive optimality conditions for trading the spread portfolio.
Göncü, Ahmet, Akyildirim, Erdinc
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Statistical arbitrage under a fractal price model
Annals of Operations Research, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yun Xiang, Shijie Deng
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An Intelligent Statistical Arbitrage Trading System
2006This paper proposes an intelligent combination of neural network theory and financial statistical models for the detection of arbitrage opportunities in a group of stocks. The proposed intelligent methodology is based on a class of neural network-GARCH autoregressive models for the effective handling of the dynamics related to the statistical ...
Nikos S. Thomaidis +2 more
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The Cointegration approach in statistical arbitrage
2022The goal of this work is to showcase the importance of the unit roots and how to appropriately manage them through the theory of cointegration. We present the practical connection of statistical arbitrage with the cointegration and how it can be applied in the Financial market.
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Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage
SSRN Electronic Journal, 2018Purpose This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach The authors apply a series of statistical methods, including the Johansen test and Engle ...
Tim Leung, Hung Nguyen
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