Robust statistical arbitrage

• المؤلف الرئيسي: Yin, Daiying
• مؤلفون آخرون: Ariel Neufeld
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Science::Mathematics::Applied mathematics::Optimization
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/148416

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...