Results 191 to 200 of about 52,168 (223)

Statistical Arbitrage and Algorithmic Trading

2023
Pairs trading strategy takes advantage of diversification across stocks, to produce a low-volatility investment strategy which is uncorrelated with the market. In this dissertation, we propose an OU-GARCH model to model the spread. We develop three trading strategies under GARCH volatility assumption.
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Essays in statistical arbitrage [PDF]

, 2014
This three-paper thesis explores the important relationship between arbitrage and price efficiency. Chapter 3 investigates the risk-bearing capacity of arbitrageurs under varying degrees and types of risk. A novel stochastic process is introduced to the literature that is capable of jointly capturing fundamental risk factors which are absent from ...
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Statistical Arbitrage and Securities Prices

Review of Financial Studies, 2002
This paper introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizon economy, an SAO is a zero-cost trading strategy for which i) the expected payoff is positive, and ii) the conditional expected payoff in each final state of the economy is nonnegative. Unlike a pure arbitrage opportunity, an SAO can have negative payoffs
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Fast Methods for Statistical Arbitrage

2016
In many time series applications, the data set under study is a vast stream of continuously updated data. Often those data arrive in bursts. Many examples are found in finance, telecommunications, physics, biology, astronomy, among others. The main motivation of our project is to infer linear relationships among multiple financial variables, yielding ...
Eleftherios Soulas, Dennis Shasha
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Analytic solutions for optimal statistical arbitrage trading

Physica A: Statistical Mechanics and its Applications, 2009
In this paper we derive analytic formulae for statistical arbitrage trading where the security price follows an Ornstein-Uhlenbeck process. By framing the problem in terms of the first-passage time of the process, we derive expressions for the mean and variance of the trade length and the return.
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Quantitative Methods of Statistical Arbitrage

Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spreads constructed from pairs or portfolios of assets. Utilizing statistical models and algorithms, statistical arbitrage exploits and capitalizes on the pricing inefficiencies between securities or within asset portfolios.
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Exploring arbitrage opportunities between China's carbon markets based on statistical arbitrage pairs trading strategy

Environmental Impact Assessment Review, 2023
Boqiang Lin, Zhizhou Tan
exaly  

The impact of arbitrage on market liquidity

Journal of Financial Economics, 2021
Dominik Rösch
exaly  

The Statistical Limit of Arbitrage

SSRN Electronic Journal
Rui Da, Stefan Nagel, Dacheng Xiu
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Trading and arbitrage in cryptocurrency markets

Journal of Financial Economics, 2020
I S Makarov, Antoinette Schoar
exaly