A Statistical Arbitrage Strategy in Forex Market Based on High-Frequency Data
نویسندگان
چکیده
منابع مشابه
A Statistical Arbitrage Strategy
Statistical arbitrage is a profit situation arising from pricing inefficiencies between securities. This is usually identified through mathematical modeling techniques. Hogan, Jarrow, and Warachka describe the dynamics of trading profits as a stochastic process. A test for statistical arbitrage can then be based on identification of the parameters of the process. This project implements such a ...
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ژورنال
عنوان ژورنال: Finance
سال: 2017
ISSN: 2161-0967,2161-0975
DOI: 10.12677/fin.2017.71005