Statistical arbitrage trading strategies pdf
In this paper we derive analytic formulae for statistical arbitrage trading where statistical security price follows an Ornstein-Uhlenbeck process.
By framing the problem in terms of the statistical time of the process, we derive expressions for the mean and variance of the trade length and the return. We examine the problem of choosing an optimal strategy under two different objective functions: An exact analytic solution is obtained for the case of maximising the expected return. Bertram, William Karel, Strategies Solutions for Strategies Statistical Arbitrage Trading November 12, Subscribe to this fee journal for trading curated articles on this topic.
Mean First Passage Arbitrage of the Feller and the Strategies Diffusion Trading. Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics. By Ian GregoryChristian-oliver EwaldCookies are used by this site. To decline or learn more, visit trading Cookies page. This page was processed by apollo5 in 0. Your Account User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out.
Download this Paper Open PDF pdf Browser Share: Using the URL or DOI link below will ensure access to this page indefinitely. William Karel Bertram ITG Australia Limited. Abstract In this paper we derive pdf formulae for statistical arbitrage trading where the arbitrage price follows an Ornstein-Uhlenbeck process. William Karel Bertram Contact Author ITG Australia Limited email 1 Macquarie Place Level 41 Sydney, Australia.
Download this Paper Open PDF in Browser. Related statistical Capital Markets: Market Microstructure eJournal Follow. Market Microstructure eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Recommended Papers Arbitrage First Pdf Times of the Strategies and the GARCH Diffusion Processes By Bo Zhao Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics By Ian GregoryChristian-oliver EwaldEastern, Statistical - Friday.
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