Risk control of mean-reversion time in statistical arbitrage
Author:
Affiliation:
1. Institute for Computational and Mathematical Engineering, Stanford University, USA. Tel.: ; E-mail: uriyeobi@gmail.com
2. Department of Mathematics, Stanford University, USA. Tel.: ; E-mail: papanico@math.stanford.edu
Publisher
IOS Press
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Finance,Statistics and Probability
Reference21 articles.
1. Maximum likelihood estimation of discretely sampled diffusion: A closed-form approximation approach;Ait-Sahalia;Econometrica,2002
2. Statistical arbitrage in the US equities market;Avellaneda;Quantitative Finance,2010
3. A.R. Bergstrom, Continuous Time Econometric Modelling, Oxford University Press, 1990.
4. Analytic solutions for optimal statistical arbitrage trading;Bertram;Physica A: Statistical Mechanics and its Applications,2010
5. Speculative trading in mean reverting markets;Carcano;European Journal of Operation Research,2005
Cited by 4 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. From Pixels to Profits: Trading Arbitrage Portfolios Based on Image Representations;SSRN Electronic Journal;2023
2. Statistical Arbitrage for Multiple Co-integrated Stocks;Applied Mathematics & Optimization;2022-06-07
3. Deep Learning Statistical Arbitrage;SSRN Electronic Journal;2021
4. A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns;Quantitative Finance;2019-03-19
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3