Results 11 to 20 of about 52,168 (223)
Statistical arbitrage with vine copulas [PDF]
Quantitative Finance, 2018 We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling.
Stübinger, Johannes +2 more
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China's Gold Statistical Arbitrage [PDF]
Advances in Engineering Research, 2014 This article tries to find an arbitrage strategy in the gold prices market of China. And the method is the linear regression based on the time serious date, the gold price, the gold companies' stock prices and other metals prices from 2002 to 2014, and the data of different period, so we tried to test every possible relationship which based on the ...
Zhibo Wang, Jiuhong Yu
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Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs [PDF]
, 2009 This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages.
Mayordomo, Sergio +2 more
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What Is Statistical Arbitrage?
Theoretical Economics Letters, 2018 Statistical Arbitrage (SA) is a common financial term. However, there is no common definition in the literature while investors use the expression SA for a variety of different strategies. So, what is SA? In order to answer this question, we investigate SA strategies across equity, fixed income and commodity.
Marco Lazzarino +2 more
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Correlation Matrix Clustering for Statistical Arbitrage Portfolios
4th ACM International Conference on AI in Finance, 2023 We propose a framework to construct statistical arbitrage portfolios with graph clustering algorithms. First, we use various clustering methods to partition the correlation matrix of market residual returns of stocks into clusters. Next, we construct and evaluate the performance of mean-reverting statistical arbitrage portfolios within each cluster. We
Qi Jin, Mihai Cucuringu, Álvaro Cartea
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Arbitrage-free prediction of the implied volatility smile [PDF]
, 2014 This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices.
Dellaportas, Petros +1 more
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Filtering and forecasting commodity futures prices under an HMM framework [PDF]
, 2013 We propose a model for the evolution of arbitrage-free futures prices under a regime-switching framework. The estimation of model parameters is carried out using the hidden Markov filtering algorithms.
Anton Tenyakov +26 more
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Statistical arbitrage in the Black–Scholes framework [PDF]
Quantitative Finance, 2014 In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it hits a deterministic barrier level.
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Extraction of the underlying structure of systematic risk from non-Gaussian multivariate financial time series using independent component analysis: Evidence from the Mexican stock exchange [PDF]
, 2018 Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA ...
Ladrón de Guevara Cortés, Rogelio +2 more
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Statistical arbitrage with default and collateral [PDF]
Economics Letters, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fajardo, José, Lacerda, Ana
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