An improved test for statistical arbitrage-Reference-Cited by-同舟云学术

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An improved test for statistical arbitrage

Published:2012-02 Issue:1 Volume:15 Page:47-80
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Jarrow Robert,Teo Melvyn,Tse Yiu Kuen,Warachka Mitch

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference36 articles.

1. Nonnormalities and tests of asset pricing theories;Affleck-Graves;Journal of Finance,1989

2. On back-testing ‘zero-investment’ strategies;Alexander;Journal of Business,2000

3. Recent developments in bootstrapping time series;Berkowitz;Econometric Reviews,2000

4. Gain, loss, and asset pricing;Bernardo;Journal of Political Economy,2000

5. Market efficiency and the returns to technical analysis;Bessembinder;Financial Management,1998

Cited by 18 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Statistical arbitrage: factor investing approach;OR Spectrum;2023-09-16

2. Riding the Nordic German Power-Spread: The Einar Aas Experiment;The Energy Journal;2022-09-01

3. Learning the dynamics of technical trading strategies;Quantitative Finance;2021-03-24

4. Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets;International Journal of Finance & Economics;2020-09

5. Learning zero-cost portfolio selection with pattern matching;PLOS ONE;2018-09-25

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