Defines generalized statistical arbitrage via sigma-algebra scenarios and constructs profitable strategies including binomial and trend-following types, tested on simulated and market data.
(2003), ‘Statistical arbitrage and securities prices’, The Review of Financial Studies 16(3), 875–919
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.MF 1years
2019 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Generalized statistical arbitrage concepts and related gain strategies
Defines generalized statistical arbitrage via sigma-algebra scenarios and constructs profitable strategies including binomial and trend-following types, tested on simulated and market data.