Robust statistical arbitrage

• Main Author: Yin, Daiying
• Other Authors: Ariel Neufeld
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Science::Mathematics::Applied mathematics::Optimization
• Online Access: https://hdl.handle.net/10356/148416
• Institution: Nanyang Technological University

Statistical Arbitrage Opportunity (SAO) originally introduced by Bondarenko(2003) 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 pure arbitrage strategies, SAOs are not...