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...

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Bibliographic Details
Main Authors: JARROW, Robert A., TEO, Melvyn, TSE, Yiu Kuen, WARACHKA, Mitch
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2005
Subjects:
Market Efficiency
Financial Anomalies
Finance and Financial Management
Portfolio and Security Analysis
Online Access: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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Institution: Singapore Management University
Language: English

Internet

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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