Statistical Arbitrage: A Critical View
نویسندگان
چکیده
منابع مشابه
A Statistical Arbitrage Strategy
Statistical arbitrage is a profit situation arising from pricing inefficiencies between securities. This is usually identified through mathematical modeling techniques. Hogan, Jarrow, and Warachka describe the dynamics of trading profits as a stochastic process. A test for statistical arbitrage can then be based on identification of the parameters of the process. This project implements such a ...
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Hedge 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 largecapitalization U.S. stocks, even quite naive techniques can achieve remarkably high information ratios. T...
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ژورنال
عنوان ژورنال: Argumenta Oeconomica Cracoviensia
سال: 2016
ISSN: 1642-168X
DOI: 10.15678/aoc.2016.1505