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Littérature scientifique sur le sujet « Arbitrage trading strategies »

Auteur : Grafiati

Publié le 7 juin 2025

Mis à jour le 2 août 2025

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Articles de revues sur le sujet "Arbitrage trading strategies"

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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Fanelli, Viviana. "Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets." Risks 12, no. 7 (2024): 106. http://dx.doi.org/10.3390/risks12070106.

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In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three steps: (1) to identify mispricings in the chosen market, (2) to test mean-reverting statistical arbitrage, and (3) to develop statistical arbitrage trading strategies. We empirically investigate the existence of statistical arbitrage opportunities in crude oil markets. In particular, we focus on long-term pricing relationships between the West

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Bayraktar, Erhan, and Hasanjan Sayit. "No arbitrage conditions for simple trading strategies." Annals of Finance 6, no. 1 (2009): 147–56. http://dx.doi.org/10.1007/s10436-009-0120-3.

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Gao, Xiangyang, and Yuchen Hou. "Trading Strategies for Cryptocurrencies Based on Machine Learning Scenarios." BCP Business & Management 38 (March 2, 2023): 3048–56. http://dx.doi.org/10.54691/bcpbm.v38i.4234.

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A Cryptocurrency is a peer-to-peer digital exchange system in which cryptography is used to generate and distribute currency units. Bitcoin as the foremost digital currency, using asymmetric cryptographic algorithms, blockchain technology, was conceptualized by Satoshi Nakamoto in 2008 and born in 2009. In 14 years, digital currency has gone from being initially controversial and worthless to rapid increase in value. The huge fluctuations in its price have attracted worldwide attention, and more people have begun to pay attention to the investment strategy of digital currency. Starting from th

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Leung, Tim, and Hung Nguyen. "Constructing cointegrated cryptocurrency portfolios for statistical arbitrage." Studies in Economics and Finance 36, no. 4 (2019): 581–99. http://dx.doi.org/10.1108/sef-08-2018-0264.

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Purpose This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach The authors apply a series of statistical methods, including the Johansen test and Engle–Granger test, to derive a linear combination of cryptocurrencies that form a mean-reverting portfolio. Trading systems are designed and different trading strategies with stop-loss constraints are tested and compared according to a set of performance metr

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Krauss, Christopher. "STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK." Journal of Economic Surveys 31, no. 2 (2016): 513–45. http://dx.doi.org/10.1111/joes.12153.

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O’Connor, Ciaran, Joseph Collins, Steven Prestwich, and Andrea Visentin. "Optimising quantile-based trading strategies in electricity arbitrage." Energy and AI 20 (May 2025): 100476. https://doi.org/10.1016/j.egyai.2025.100476.

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Hou, Xinyu. "Comparisons of Different Arbitrage Strategies in Context of Various Models." BCP Business & Management 38 (March 2, 2023): 1145–50. http://dx.doi.org/10.54691/bcpbm.v38i.3839.

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S Statistical arbitrage is one of the key topics of research today due to its significance statistical features and the ability to control the drawdown. Previous researchers have implemented statistical arbitrage based on various approaches. However, some of these approaches lack depth and coherence. This paper therefore provides an in-depth assessment of the two scenarios. Specifically, the two approaches are distance and time-series models. The former one uses non-parametric distance indicators to identify pair trading opportunities, while the latter seeks to find optimal trading rules by ex

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Guryanova, Lidiya, and Natalia Chernova. "Metals futures market: a comparative analysis of investment and arbitrage strategies." Development Management 17, no. 4 (2020): 42–54. http://dx.doi.org/10.21511/dm.17(4).2019.04.

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The article deals with the application of optimal portfolio theory and pair trading theory on the metals futures market. Advantages of the futures market over the spot market include relatively small initial price, low transaction costs, and high volatility. The main aim of the study is to explore the potential of both strategies for effective trading. The following financial instruments were chosen as the inputs of the models: futures on industrial metals (aluminum, copper, nickel, zinc, lead, tin), futures on precious metals (gold and silver). When building the optimal portfolio, it was deci

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Zhao, Wanrong. "The Impact of Different Trading Strategies on the Same Portfolio." Advances in Economics, Management and Political Sciences 16, no. 1 (2023): 318–25. http://dx.doi.org/10.54254/2754-1169/16/20231030.

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The frequent occurrence of political events, the spread of the epidemic and changes in policies of various countries have made the market more volatile. Due to the instability of the overall economic environment, investors are increasingly focusing on using strategies to improve returns, so this article selects several hedge fund trading strategies, analyzes the same trading portfolio, and compares the performance of different trading portfolios. Different effects of the same combination give spirits to investors when making transactions. The market neutral trading strategy is effective for th

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Thèses sur le sujet "Arbitrage trading strategies"

Meki, Brian. "Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies." Thesis, University of the Western Cape, 2012. http://hdl.handle.net/11394/4348.

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>Magister Scientiae - MSc Purpose:This research investigates the existence of long-term equilibrium relationships among the stock market indices of Brazil, Russia, India, China and South Africa (BRICS). It further investigates cointegrated stock pairs for possible implementation of statistical arbitrage trading techniques.Design:We utilize standard multivariate time series analysis procedures to inspect unit roots to assess stationarity of the series. Thereafter, cointegration is tested by the Johansen and Juselius (1990) procedure and the variables are interpreted by a Vector Error Correct

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Zhang, Jie. "Two essays on empirical asset pricing : 1. Forecasted earnings per share and the cross section of expected returns and 2. The limits to arbitrage and the fundamental value-to-price trading strategies /." View abstract or full-text, 2006. http://library.ust.hk/cgi/db/thesis.pl?FINA%202006%20ZHANG.

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Benamar, Hedi. "Essays in Behavioral Finance." Thesis, Jouy-en Josas, HEC, 2014. http://www.theses.fr/2014EHEC0004/document.

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Cette thèse consiste en trois chapitres distincts. Dans le premier chapitre, je teste l'hypothèse selon laquelle le format d'affichage de l'information financière affecte les décisions des investisseurs individuels. Je montre qu'un affichage plus efficace permet aux individus de mieux gérer leurs ordres à cours limité en minimisant le risque de sélection adverse encouru en utilisant ces ordres. Cela suggère que les investisseurs individuels ont une rationalité limitée. Dans le second chapitre, je teste si les stratégies de trading apporteuses de liquidité peuvent générer des profits, après coû

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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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Ruf, Johannes Karl Dominik. "Optimal Trading Strategies Under Arbitrage." Thesis, 2011. https://doi.org/10.7916/D8G44X7K.

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This thesis analyzes models of financial markets that incorporate the possibility of arbitrage opportunities. The first part demonstrates how explicit formulas for optimal trading strategies in terms of minimal required initial capital can be derived in order to replicate a given terminal wealth in a continuous-time Markovian context. Towards this end, only the existence of a square-integrable market price of risk (rather than the existence of an equivalent local martingale measure) is assumed. A new measure under which the dynamics of the stock price processes simplify is constructed. It is s

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Huang, Hao-Hsuan, and 黃浩軒. "Approximate arbitrage trading strategies for cross-month futures and options." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/eu7aa5.

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碩士 國立清華大學 計量財務金融學系 106 This paper mainly studies whether there is arbitrage space for the cross-price spread trading of futures and options. In view of futures and options at different maturities can be found to be highly correlated. And as indicated in previous literature, we can relate the rate of decline of the time value of the option component price spread price of different maturity date to the option of different maturity date. This essay uses empirical methods to test the performance of investment strategies through historical data to test the existence of arbitrage space.

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Chen-Yi, Chen, and 陳成一. "The Analysis of Cross Hedging and Arbitrage Trading Strategies at Oil Price." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/80963261864259274416.

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碩士 輔仁大學 金融研究所 98 This essay uses portfolio hedging theory and pair trading theory to investigate different hedging and trading strategies of oil. The sampled data includes the spot and future price of WTI and exchange rate between euro and U.S. dollars during 2000 to 2009. In hedging strategies, we use three methods to estimate correlation coefficients; they are rolling correlation, exponential smoothing and DCC (dynamic conditional correlation). The testing periods are 2000-2004, 2005-2009, and 2000-2009. We find that: (1) Using the spot and future of crude oil to hedge have bette

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Müller, Luisa. "Algorithm-Based Intraday Trading Strategies and their Market Impact." 2020. https://htwk-leipzig.qucosa.de/id/qucosa%3A74005.

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The activity of algorithmic trading is increasing steadily across capital markets due to technological developments. This thesis analyses the common algorithmic intraday trading strategies of momentum, mean reversion, and statistical arbitrage. Conclusions were drawn from a literature review of prior and current research. Algorithmic arbitrage was found to be the most profitable of the three evaluated strategies, because it typically takes place in high frequency trading. Furthermore, this thesis analyses the impact of algorithmic trading on market liquidity and volatility. While the literatur

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Lu, Chien-hung, and 盧建弘. "Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/36861651156724088422.

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碩士 國立高雄大學 統計學研究所 102 This study proposes an efficient estimate for the expected returns of co-integration based statistical arbitrage trading strategies. If the returns of the trading strategy are independent and identically distributed, a recursive closed-form representation of its expectation is established. The proposed estimation is capable of significantly saving much more computational effort than traditional simulation based methods. Numerical results indicate that the proposed method obtains accurate estimates effectively if the returns of a co-integration based statistical

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Yeh, Chiu Sen, and 葉邱陞. "Arbitrage Strategies for Convertible Bond Trading Under the New Regulation from the Time-Series and Cross-sectional Data in Taiwan." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/05165093694102114978.

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碩士 銘傳大學 財務金融學系碩士在職專班 92 This paper is to analyze the feasibility of the arbitrage of convertible bond (CB) under the old and new regulations (March, 2002). We examine the conversion and spread arbitrages for CB in respective. Such kinds of arbitrages are realized by buying CB and simultaneously short-selling the corresponding stocks to earn spread profit. The conversion arbitrage is available only when the price of CB is discounted. However, under the new regulation, the space of conversion arbitrage has been vanishing due to the nullification of Entitled certificate. Meanwhile, th

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Livres sur le sujet "Arbitrage trading strategies"

Ruf, Johannes Karl Dominik. Optimal Trading Strategies Under Arbitrage. [publisher not identified], 2011.

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Wong, M. Anthony. Fixed-income arbitrage: Analytical techniques and strategies. Wiley, 1993.

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Algo, TradeSign. Proprietary Trading Strategies: Market Neutral Arbitrage. Independently Published, 2017.

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Milhailovich, Walter, and John B. Guerard. Currency Options: Strategies for Hedging, Trading, and Arbitrage. Probus Pub Co, 1986.

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Sports Arbitrage - Advanced Series - Cross-Market Trading Strategies I. Lulu Press, Inc., 2009.

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Sports Arbitrage - Advanced Series - Cross-Market trading Strategies II. Lulu Press, Inc., 2010.

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Macro Trading & Investment Strategies : Macroeconomic Arbitrage in Global Markets (Wiley Trading Advantage Series). Wiley, 1999.

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Burstein, Gabriel. Macro Trading and Investment Strategies: Macroeconomic Arbitrage in Global Markets. Wiley & Sons, Incorporated, John, 2008.

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Kaufman, Perry J. Alpha Trading: Profitable Strategies That Remove Directional Risk. Wiley & Sons, Incorporated, John, 2011.

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Kaufman, Perry J. Alpha Trading: Profitable Strategies That Remove Directional Risk. Wiley & Sons, Incorporated, John, 2011.

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Chapitres de livres sur le sujet "Arbitrage trading strategies"

Liu, Peng. "Statistical Arbitrage with Hypothesis Testing." In Quantitative Trading Strategies Using Python. Apress, 2023. http://dx.doi.org/10.1007/978-1-4842-9675-2_8.

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Tsai, Hui-Huang, Mu-En Wu, Wei-Ho Chung, and Cheng-Yu Lu. "On the Study of Trading Strategies Within Limited Arbitrage Based on SVM." In Advances in Intelligent Systems and Computing. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-48490-7_15.

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"Arbitrage Trading Strategies." In Financial Markets and Trading. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118268094.ch11.

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"Statistical Arbitrage Strategies." In High-Frequency Trading. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119203803.ch8.

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Jarrow, Robert A. "Trading Strategies, Arbitrage Opportunities, and Complete Markets." In Modeling Fixed Income Securities and Interest Rate Options. Chapman and Hall/CRC, 2019. http://dx.doi.org/10.1201/9780429432842-7.

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"Martingale Arbitrage Pricing in Real Market." In Quantitative Analysis, Derivatives Modeling, and Trading Strategies. WORLD SCIENTIFIC, 2007. http://dx.doi.org/10.1142/9789812706652_0002.

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"The Holy Grail — Two-Factor Interest Rate Arbitrage." In Quantitative Analysis, Derivatives Modeling, and Trading Strategies. WORLD SCIENTIFIC, 2007. http://dx.doi.org/10.1142/9789812706652_0012.

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"6. Trading Strategies, Arbitrage Opportunities, and Complete Markets." In Modeling Fixed-Income Securities and Interest Rate Options. Stanford University Press, 2002. http://dx.doi.org/10.1515/9781503619982-009.

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Inala, Ramesh. "Algorithmic trading and portfolio optimization using deep learning and high-frequency market data." In The New Frontiers of Financial Services: Redefining Value with Artificial Intelligence-Driven Intelligence and Automation. Deep Science Publishing, 2025. https://doi.org/10.70593/978-93-49910-91-1_10.

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Algorithmic trading has become a dominating form of trading in equity and derivatives markets. A recent analysis of trading data from the U.S. equity market revealed that 70% of all trading activity is now handled by computers using various algorithmic strategies and trading systems. These strategies range from traditional execution, liquidity shaping and smart order routing strategies to more sophisticated high-frequency trading strategies that are often based on statistical arbitrage and market making principles. Autonomous in their performance, proprietary trading firms typically run high-f

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Bodek, Haim. "A Case Study in Regulatory Arbitrage and Information Asymmetry." In Global Algorithmic Capital Markets. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198829461.003.0003.

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While much of the public debate surrounding high frequency trading (HFT) and algorithmic trading has centred on speed, less has been said about the circumvention of regulation via special order types—complex and often non-transparent ways for high frequency traders to interact with exchange markets and other trading venues, allowing them to achieve a favourable execution position at the expense of other market participants. This chapter documents the special order types used by high frequency traders, the absence of adequate disclosure by exchanges, and the problematic interaction between orde

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Actes de conférences sur le sujet "Arbitrage trading strategies"

Yan, Tao, Qiyue Shang, Yu Zhang, and Claudio J. Tessone. "Optimizing Arbitrage Strategies on Uniswap: The Impact of Trading Path Length on Profitability and Opportunity Frequency." In Proceedings of Blockchain Kaigi 2023 (BCK23). Journal of the Physical Society of Japan, 2024. http://dx.doi.org/10.7566/jpscp.43.011007.

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