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

• 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
• Institution: Singapore Management University

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...