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Statistical Arbitrage Related Scholarly Compositions
See also:
Statistical
Arbitrage Related News,
Statistical Arbitrage
Related Books,
or
Statistical Arbitrage Home Page.
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Behavioral Statistical Arbitrage
by Dmytro
Sudak & Olena Suslova
University of Lausanne
April, 2004
Abstract
One of the inefficiencies observed on the financial markets is a
momentum effect. This inefficiency can be exploited by a trading
strategy. Most of the empirical studies of momentum effect were
made on the US stock market...
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A Computational Methodology for
Modelling the Dynamics of Statistical Arbitrage
by Andrew
Neil Burgess
London Business School
Abstract
Recent years have seen the emergence of a multi-disciplinary
research area known as “Computational Finance”. In many cases
the data generating processes of financial and other economic
time-series are at best imperfectly understood. By allowing
restrictive assumptions about price dynamics to be relaxed,
recent advances in computational modelling techniques offer the
possibility to discover new “patterns” in market activity...
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Dry Markets and Statistical
Arbitrage Bounds for European Derivatives
by Joao
Amaro de Matos & Ana Lacerda
2006
Abstract
We derive statistical arbitrage bounds for the buying and
selling price of European derivatives under incomplete markets.
In this paper, incompleteness is generated due to the fact that
the market is dry, i.e., the underlying asset cannot be
transacted at certain points in time. In particular, we refine
the notion of statistical arbitrage in order to extend the
procedure for the case where dryness is random, i.e., at each
point in time the asset can be transacted with a given
probability...
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Limits of Arbitrage:
Understanding How Hedge Funds Fail
by Mila
Getmansky & Andrew W. Lo
March 2, 2005
Abstract
Even if arbitrage opportunities are found in a statistical
sense, they might not be
exploitable due to unexpected widening of spreads. This paper
models such a
case in the framework of a hedge fund. Specifically, Long Term
Capital
Management is presented as a case study...
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A Market Neutral Statistical
Arbitrage Trading Model
by Erik
Larsson, Lars Larsson, & Johan Aberg
March 13, 2003
Abstract
The momentum effect is a systematic inefficiency in the market
that can be exploited by a trading strategy. This conclusion is
supported by theoretical and empirical evidence. But the
academic research that tries to quantify the performance of this
kind of strategy often relies on a methodology that is too
simplistic...
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Robust Tests of Market Efficiency
using Statistical Arbitrage
by Melvyn
Teo, Yiu Kuen Tse, & Mitch Warachka
Singapore Management University
April, 2004
Abstract
This paper develops robust tests of market efficiency using
statistical arbitrage which circumvent the joint-hypotheses
dilemma confounding the traditional literature. Hogan, Jarrow,
Teo and Warachka (2004) identify statistical arbitrage
opportunities in momentum and value strategies. However, their
results are sensitive to the assumption that expected
incremental trading profits are constant...
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STATISTICAL ARBITRAGE MODELS OF
THE FTSE 100
by A.N.
Burgess
London Business School
Abstract
In this paper we describe a set of statistical arbitrage models
which exploit relative value relationships amongst the
constituents of the FTSE 100. Rather than estimating
cointegration vectors of high dimensionality, a stepwise
regression approach is used to identify the most appropriate
subspace for the
stochastic detrending of each individual equity price. A Monte
Carlo simulation is used to identify the empirical distribution
of the Variance Ratio profile of the regression residuals, under
the null hypothesis of random walk behaviour...
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Statistical Arbitrage and
Securities Prices
by Oleg
Bondarenko
University of Illinois at Chicago
Abstract
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 final state is non-negative...
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Testing Market Efficiency using
Statistical Arbitrage with Applications to Momentum and Value
Strategies
by S.
Hogan, R. Jarrow, M. Teo, & M. Warachka
Credit Suisse First Boston, Johnson Graduate School of
Management, Singapore Management University
September, 2003
Abstract
This paper introduces the concept of statistical arbitrage, a
long horizon trading opportunity that generates a riskless
profit and is designed to exploit persistent anomalies.
Statistical arbitrage circumvents the joint hypothesis dilemma
of traditional market efficiency tests because its definition is
independent of any equilibrium model and its existence is
incompatible with market efficiency. We provide a methodology to
test for statistical arbitrage and then empirically
investigate whether momentum and value trading strategies
constitute statistical arbitrage opportunities...
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Back to Scholarly Compositions
See also:
Statistical
Arbitrage Related News,
Statistical Arbitrage
Related Books,
or
Statistical Arbitrage Home Page.
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