Statistical Arbitrage Trading StrategyTang, Kim Kuen
In financial industry, some practitioners even attempt to profit by constructing mean-reverting prices which are usually known as statistical arbitrage or pair trading. Statistical arbitrage is a more sophisticated trading strategy that evolved out of the simpler pairs trade strategy [4]. In the ...
fact that hedge funds have attracted an increasing amount of investment capital over the past decade, the study of hedge fund strategies is in its infancy in the financial economics literature.This article examines the risk and return characteristics of one widely practiced active trading strategy. ...
in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive ...
The daily trading volume on the last cum-dividend dates in in-the-money call options targeted by the dividend strategy significantly exceeds the trading volume on the remaining dates, often by a factor of 100. So profit-driven arbitrageurs do exploit the strategy. There are, however, four stri...
/61R&D Volatility arbitrage indices – a primer Keith Loggie, director global research & design at Standard & Poor's Index Services, looks at the instruments and their context In broad terms, volatility arbitrage can be used to describe trading strategies based on the difference in volatility...
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference ...
funding cost of the trading desk • q is the continuous yield dividend of the underlying asset of the futures contract • g is the yield of the storage and transportation costs also called the convenience yield for commodity futures • I is the present value of the different cash...
To mitigate this risk, it has been assumed that the investor allocates 100 % of the position’s value to this derivative, i.e., trading without leverage. Based on this information, an estimate can be made of the fees incurred during the development of the arbitrage strategy. For this ...
However, the term “arbitrage” is also sometimes used to describe other trading activities.Merger arbitrage, which involves buying shares in companies prior to an announced or expected merger, is one strategy that is popular among hedge fund investors. ...