Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications
نویسندگان
چکیده
منابع مشابه
Office of Research Statistical Arbitrage and Tests of Market Efficiency
Roughly speaking, statistical arbitrage is a long horizon trading strategy that generates a riskless profit. The concept of statistical arbitrage is motivated by numerous empirical studies that construct trading strategies to profit from persistent anomalies. However, we demonstrate by example that positive expected trading profits are not sufficient to reject market efficiency. Instead, this p...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.659941