What Is Statistical Arbitrage?
نویسندگان
چکیده
منابع مشابه
Relativistic statistical arbitrage.
Recent advances in high-frequency financial trading have made light propagation delays between geographically separated exchanges relevant. Here we show that there exist optimal locations from which to coordinate the statistical arbitrage of pairs of spacelike separated securities, and calculate a representative map of such locations on Earth. Furthermore, trading local securities along chains ...
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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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This article introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizon economy, a 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, a SAO can have negative payoffs provided that the average payoff in each...
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ژورنال
عنوان ژورنال: Theoretical Economics Letters
سال: 2018
ISSN: 2162-2078,2162-2086
DOI: 10.4236/tel.2018.85063