statistical arbitrageWe show that exploitable lead-lag relations of the order of a few hundred milliseconds exist in the three pairings between the S&P 500, FTSE 100, and DAX futures contracts. These relations exhibit clear intra-daily patterns, particularly around the US open, the European close...
Research on the Application of ETF Futures-Cash Arbitrage Method Based on Statistical Arbitrage; 基于统计套利的ETF期现套利方法应用研究 3. In this paper,the concept of statistical arbitrage is introduced. 简要介绍了统计套利的概念,并在Hogan等(2004)的基础上,采用证伪的方式来验证市场的有效性:只要有...
Since lacking of Short Hedge Mechanism, statistical arbitrage can hardly be realized in domestic capital markets. However, the situation is being relieved with the introduction of margin trading and stock index futures. And the trend to set up Short Hedge Mechanism is overwhelming. In this ...
In the field of futures-spot cross-market arbitrage strategies,the traditional holding-to-maturity arbitrage strategy provides very few arbitrage opportunities and the income is very low. In this paper,through mathematical modeling,risky statistical arbitrage strategies based on early unwinding is proposed...
natural gas futures. The overall results suggest that statistical arbitrage in HFT environment significantly outperforms traditional trading strategies, provides liquidity to the markets and denies the efficient market hypothesis. 展开 被引量: 5
Third,this paper constructs investment portfolio for the stock pair through statistical arbitrage strategy and calculates the return; Finally,this paper comes to the conclusion that the investment portfolio constructed in this paper is suit for the hedge funds in our country on the basis of the resu...
–Empirical evidence is presented to demonstrate the effectiveness of statistical arbitrage in the crude oil markets. –The mispricing portfolio is constructed using cointegration regression, establishing long-term pricing relationships between WTI crude oil futures and a replication portfolio composed of Bren...
Index Options-Futures Arbitrage: A Comparative Study with Bid/Ask and Transaction Data We can infer from bid/ask quotations and transaction prices that where options contracts are traded under a competitive open-outcry market-making system, t... JKW Fung,HMK Mok - 《Financial Review》 被引量:...
This article focuses on statistical arbitrage, coded in R. It is a combination of EPAT class notes and author’s source code.
In the following study, I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Statistical arbitrage in particular is explained in further detail, and major performance measurement ratios are presented. In the second part, I am go...