An Improved Test for Statistical Arbitrage

An Improved Test for Statistical Arbitrage

We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies whose...

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Bibliographic Details
Main Authors: JARROW, Robert, TEO, Melvyn, TSE, Yiu Kuen, WARACHKA, Mitch
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Bootstrap
Momentum strategy
Statistical arbitrage
Value strategy
Corporate Finance
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2966
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3965/viewcontent/ImprovedTestStatisticalArbitrage_2012.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/2966
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3965/viewcontent/ImprovedTestStatisticalArbitrage_2012.pdf

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