Defines generalized statistical arbitrage via sigma-algebra scenarios and constructs profitable strategies including binomial and trend-following types, tested on simulated and market data.
(2017), ‘Statistical arbitrage pairs trading strategies: Review and outlook’, Journal of Economic Surveys 31(2), 513–545
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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.