An Improved Test for Statistical Arbitrage

• Main Authors: JARROW, Robert, TEO, Melvyn, TSE, Yiu Kuen, WARACHKA, Mitch
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2012
• 主題: Bootstrap; Momentum strategy; Statistical arbitrage; Value strategy; Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/2966; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3965/viewcontent/ImprovedTestStatisticalArbitrage_2012.pdf

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...