Stop-loss and leverage in optimal statistical arbitrage with an application to energy market
نویسندگان
چکیده
منابع مشابه
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پس ازفروپاشی شوروی،رشد منابع نفت و گاز، آسیای میانه و قفقاز را در یک بازی ژئوپلتیکی انرژی قرار داده است. با در نظر گرفتن این منابع هیدروکربنی، این منطقه به یک میدانجنگ و رقابت تجاری برای بازی های ژئوپلتیکی قدرت های بزرگ جهانی تبدیل شده است. روسیه منطقه را به عنوان حیات خلوت خود تلقی نموده و علاقمند به حفظ حضورش می باشد تا همانند گذشته گاز طبیعی را به وسیله خط لوله مرکزی دریافت و به عنوان یک واس...
15 صفحه اولOffice of Research Statistical Arbitrage and Tests of Market Efficiency
Roughly speaking, statistical arbitrage is a long horizon trading strategy that generates a riskless profit. The concept of statistical arbitrage is motivated by numerous empirical studies that construct trading strategies to profit from persistent anomalies. However, we demonstrate by example that positive expected trading profits are not sufficient to reject market efficiency. Instead, this p...
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ژورنال
عنوان ژورنال: Energy Economics
سال: 2019
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2018.03.024