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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| 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 |