Statistical arbitrage: factor investing approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,Business, Management and Accounting (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s00291-023-00733-z.pdf
Reference40 articles.
1. Akyildirim E, Fabozzi FJ, Goncu A, Sensoy A (2022) Statistical arbitrage in jump-diffusion models with compound poisson processes. Ann Oper Res 313:1357–1371
2. Avellaneda M, Lee JH (2010) Statistical arbitrage in the us equities market. Quant Financ 10:761–782
3. Bertram WK (2009) Optimal trading strategies for Itô diffusion processes. Phys A 388:2865–2873
4. Bertram WK (2010) Analytical solutions for optimal statistical arbitrage trading. Phys A 389:2234–2243
5. Bondarenko O (2003) Statistical arbitrage and securities prices. Rev Financ Stud 16:875–919
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