Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications

Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications

Statistical arbitrage enables tests of market efficiency which circumvent the joint-hypotheses dilemma. This paper makes several contributions to the statistical arbitrage framework. First, we enlarge the set of statistical arbitrage opportunities in Hogan, Jarrow, Teo, and Warachka (2004) to avoid...

وصف كامل

محفوظ في:
التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: JARROW, Robert A., TEO, Melvyn, TSE, Yiu Kuen, WARACHKA, Mitch
التنسيق: text
اللغة:English
منشور في: Institutional Knowledge at Singapore Management University 2005
الموضوعات:
Market Efficiency
Financial Anomalies
Finance and Financial Management
Portfolio and Security Analysis
الوصول للمادة أونلاين:https://ink.library.smu.edu.sg/lkcsb_research/3168
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4167/viewcontent/StatisticalArbitrageMarketEfficiency_2005_wp.pdf
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الانترنت

https://ink.library.smu.edu.sg/lkcsb_research/3168
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4167/viewcontent/StatisticalArbitrageMarketEfficiency_2005_wp.pdf

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