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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| 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 |