Relevant bibliographies by topics / Statistical arbitrage framework

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Statistical arbitrage framework'

Author: Grafiati
Published: 4 June 2021
Last updated: 7 February 2022

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Journal articles on the topic "Statistical arbitrage framework"

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Göncü, Ahmet. "Statistical arbitrage in the Black–Scholes framework." Quantitative Finance 15, no. 9 (2014): 1489–99. http://dx.doi.org/10.1080/14697688.2014.961531.

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GÖNCÜ, AHMET, and ERDINC AKYILDIRIM. "STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY." Annals of Financial Economics 12, no. 01 (2017): 1750004. http://dx.doi.org/10.1142/s201049521750004x.

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In this study, we consider the statistical arbitrage definition given in Hogan, S, R Jarrow, M Teo and M Warachka (2004). Testing market efficiency using statistical arbitrage with applications to momentum and value strategies, Journal of Financial Economics, 73, 525–565 and derive the statistical arbitrage condition in the multi-asset Black–Scholes economy building upon the single asset case studied in Göncü, A (2015). Statistical arbitrage in the Black Scholes framework. Quantitative Finance, 15(9), 1489–1499. Statistical arbitrage profits can be generated if there exists at least one asset
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Bayram, Mehmet, Muzaffer Akat, and Serol Bulkan. "Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework." Journal of Intelligent & Fuzzy Systems 38, no. 1 (2020): 697–707. http://dx.doi.org/10.3233/jifs-179442.

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CARTEA, ÁLVARO, SEBASTIAN JAIMUNGAL, and JASON RICCI. "TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE." International Journal of Theoretical and Applied Finance 21, no. 03 (2018): 1850025. http://dx.doi.org/10.1142/s0219024918500255.

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We develop a trading strategy that employs limit and market orders in a multiasset economy where the assets are not only correlated, but can also be structurally dependent. To model the structural dependence, the mid-price processes follow a multivariate reflected Brownian motion on the closure of a no-arbitrage region which is dictated by the bid–ask spreads of the assets. We provide a mathematical framework for such an economy and solve for the value function and optimal control for an investor who takes positions in these assets. The optimal strategy exhibits two dominant features which dep
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Stübinger, Johannes, and Lucas Schneider. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500." Journal of Risk and Financial Management 12, no. 2 (2019): 51. http://dx.doi.org/10.3390/jrfm12020051.

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This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump–diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998–December 2015. In particular, the established stock selection and trading framework identifies overnight price gaps based on an advanced jump test procedure and exploits temporary market anomalies during the first minutes of a trading day. The existence of the assumed mean-reverting property is confirmed by a preliminary analysis of the S&P 500 index; this characteristic is particularly sign
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Marquez, Jaime, and Silvia Merler. "A Note on the Empirical Relation between Oil Prices and the Value of the Dollar." Journal of Risk and Financial Management 13, no. 8 (2020): 164. http://dx.doi.org/10.3390/jrfm13080164.

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This paper offers an empirical characterization of the relation between the international price of oil and exchange rates that is both useful and reliable. Our characterization is useful because it rests on information of asset prices that are determined in functioning asset markets. Our characterization is reliable because its maintained assumptions are not rejected by the data. Four features differentiate our work from previous analyses. First, our reliance on bilateral rates opens previously ignored financial arbitrage opportunities between oil prices and exchange rates. Second, our emphasi
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Waldow, Fabian, Matthias Schnaubelt, Christopher Krauss, and Thomas Günter Fischer. "Machine Learning in Futures Markets." Journal of Risk and Financial Management 14, no. 3 (2021): 119. http://dx.doi.org/10.3390/jrfm14030119.

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In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading framework and compile a data set comprised of 60 futures covering nearly 10 trading years. Next, we train several machine learning models to predict whether the h-day-ahead return of each future out- or underperforms the corresponding cross-sectional median return. Finally, we enter long/short positions for
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Keilbar, Georg, and Yanfen Zhang. "On cointegration and cryptocurrency dynamics." Digital Finance 3, no. 1 (2021): 1–23. http://dx.doi.org/10.1007/s42521-021-00027-5.

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AbstractThis paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium
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Maltsev, Valerii, and Michael Pokojovy. "Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates." Mathematics 9, no. 2 (2021): 114. http://dx.doi.org/10.3390/math9020114.

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The Heath-Jarrow-Morton (HJM) model is a powerful instrument for describing the stochastic evolution of interest rate curves under no-arbitrage assumption. An important feature of the HJM approach is the fact that the drifts can be expressed as functions of respective volatilities and the underlying correlation structure. Aimed at researchers and practitioners, the purpose of this article is to present a self-contained, but concise review of the abstract HJM framework founded upon the theory of interest and stochastic partial differential equations in infinite dimensions. To illustrate the pre
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dos Santos, Paulo L., and Ellis Scharfenaker. "Competition, self-organization, and social scaling—accounting for the observed distributions of Tobin’s q." Industrial and Corporate Change 28, no. 6 (2019): 1587–610. http://dx.doi.org/10.1093/icc/dtz027.

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AbstractWe develop a systemic, information-theoretic model of competitive capital-market functioning that can account for the observed statistical regularities in cross-sectional distributions of the logarithm of Tobin’s q for US non-financial corporations since 1962. The model considers capital markets as a self-organizing system driven by competitive interactions among investors and corporate managers. The persistent pattern of organization we observe in those distributions is primarily defined by the efforts of corporate managers to appropriate arbitrage capital gains defined by heterogenei
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Dissertations / Theses on the topic "Statistical arbitrage framework"

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Fereres, Yohan. "Stratégies d’arbitrage systématique multi-classes d'actifs et utilisation de données hétérogènes." Thesis, Paris Est, 2013. http://www.theses.fr/2013PEST0075/document.

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Les marchés financiers évoluent plus ou moins rapidement et fortement au gré des différents types d’information diffusés au cours des périodes d’étude. Dans ce contexte, nous cherchons à mesurer l’influence de tous types d’information sur des portefeuilles d’arbitrage systématique « euro neutres » multi-classes d’actifs, issus soit d’une diversification « naïve » (« 1/N ») soit d’une diversification optimale. Dans le cadre de nos recherches sur l’allocation tactique systématique, ces divers flux informationnels sont regroupés sous le terme de données hétérogènes (données de cotation et « autre
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Books on the topic "Statistical arbitrage framework"

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Richard, Kreindler, Wolff Reinmar, and Rieder Markus S. Commercial Arbitration in Germany. Oxford University Press, 2016. http://dx.doi.org/10.1093/law/9780199676811.001.0001.

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This book provides a detailed commentary on and analysis of German arbitration law and practice. This title covers both domestic and international arbitration in all its stages. The work details the legal framework for German-related arbitration and provides practical guidance on the appropriate choices, with a specific focus on particularities of German law and practice. The book navigates along the life cycle of an arbitration, commencing with the arbitration agreement, continuing with the arbitral tribunal, the arbitral proceedings and interim relief, and concluding with the arbitral award
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Book chapters on the topic "Statistical arbitrage framework"

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Ong, Eng Hwee, and Jamil Y. Khan. "Cognitive Cooperation in Wireless Networks." In IT Policy and Ethics. IGI Global, 2013. http://dx.doi.org/10.4018/978-1-4666-2919-6.ch067.

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In recent years, vertical handover (VHO) has been identified as the primary vehicle to provision seamless mobility and quality of service (QoS) transparency for end-user in composite network. This allows end-user to enjoy ubiquitous connectivity in the most efficient way, irrespective of time and place, commonly known as always best connected. In this chapter, the authors introduce the notion of cognitive cooperation as a means to provide optimized VHO opportunistically in order to exploit the inherent heterogeneity that exists within such composite network to improve radio resource usage. Through the cognitive cooperation, the chapter proposes a distributed load adaptation strategy (LAS) framework which exploits the benefits of joint optimization, particularly between link adaptation and load adaptation on-demand. The authors advocate that such synergetic interactions between the physical layer (PHY) and medium access control (MAC) layer have advantages over the PHY approach based only on link adaptation. Comprehensive performance analyses show that the LAS framework arbitrates a QoS-balanced system in which statistical QoS guarantee for multimedia traffic can be provisioned and overall system capacity can be maximized.
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Aston, Joshua N. "Response of India towards Torture and Custodial Violence." In Torture Behind Bars. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780190120986.003.0005.

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The chapter deals with the legal framework in India against torture and custodial violence and the response and role of the Indian police force in such crimes. It also gives statistical data on violence taking place in the country at the hands of the police and armed forces. It provides a summary of the report of the United Nations Special Rapporteur on arbitrary and extra-judicial executions. The chapter also discusses the right to protection against torture and the views and verdicts of the Supreme Court of India, and highlights the role of statutory bodies and commissions such as the Law Commission of India and the National Police Commission in preventing torture and custodial violence. Therefore, this chapter has reference to several laws of the country and the Constitution of India and its provisions, and it cites some cases and Supreme Court rulings for preventing torture and custodial violence, which provides India’s response towards the prevention of torture and custodial violence and protecting victims as well as every citizen from such crimes.
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Conference papers on the topic "Statistical arbitrage framework"

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Antulov-Fantulin, Nino, Alen Lancic, Hrvoje Stefancic, Mile Sikic, and Tomislav Smuc. "Statistical Inference Framework for Source Detection of Contagion Processes on Arbitrary Network Structures." In 2014 IEEE Eighth International Conference on Self-Adaptive and Self-Organizing Systems Workshops (SASOW). IEEE, 2014. http://dx.doi.org/10.1109/sasow.2014.35.

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Pepper, Nick, Francesco Montomoli, Francesco Giacomel, et al. "Uncertainty Quantification and Missing Data for Turbomachinery With Probabilistic Equivalence and Arbitrary Polynomial Chaos, Applied to Scroll Compressors." In ASME Turbo Expo 2020: Turbomachinery Technical Conference and Exposition. American Society of Mechanical Engineers, 2020. http://dx.doi.org/10.1115/gt2020-16139.

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Abstract This work presents a framework for predicting unknown input distributions for turbomachinery applications starting from scarce experimental measurements. The problem is relevant to turbomachinery where important parameters are obtained using indirect measurements. In this paper a scroll compressor is used as example but the suggested framework is completely general and can be used to infer missing data on material composition (carbon fiber properties, laser melted specimens for additive manufacturing etc) or input data (such as the turbine inlet temperature). Scroll compressors are sm
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Lloyd, George M., Timothy Hasselman, and Thomas Paez. "A Proportional Hazards Neural Network for Performing Reliability Estimates and Risk Prognostics for Mobile Systems Subject to Stochastic Covariates." In ASME 2005 International Mechanical Engineering Congress and Exposition. ASMEDC, 2005. http://dx.doi.org/10.1115/imece2005-82657.

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We present a proportional hazards model (PHM) that establishes a framework suitable for performing reliability estimates and risk prognostics on complex multi-component systems which are transferred at arbitrary times among a discrete set of non-stationary stochastic environments. Such a scenario is not at all uncommon for portable and mobile systems. It is assumed that survival data, possibly interval censored, is available at several “typical” environments. This collection of empirical survival data forms the foundation upon which the basic effects of selected covariates are incorporated via
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Eshghi, Amin Toghi, Soobum Lee, HyunJun Jung, and Pingfeng Wang. "Design of a Probabilistic Health Monitoring System Using Embedded Piezoelectric Patch Sensors." In ASME 2019 Conference on Smart Materials, Adaptive Structures and Intelligent Systems. American Society of Mechanical Engineers, 2019. http://dx.doi.org/10.1115/smasis2019-5506.

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Abstract This paper proposes a probabilistic model for the placement of sensors that considers uncertain factors in the sensing system to find the best arrangement of sensor locations. Traditional procedures for structural health monitoring (SHM) usually rely on simplified behavior and deterministic factors from structure’s response. Incorporating the sources of uncertainty (e.g., loading condition, material properties, and geometrical parameters) in the design of sensor network will enhance the safety and extend the useful life of the complex mechanical systems. The proposed method is defined
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