Statistical Arbitrage and Long Run Relations

Name: Statistical Arbitrage and Long Run Relations
Brand: VDM Verlag
SKU: 9783639340198
Price: 273.57 RON
Availability: InStock

Evidence from two different stock markets

Autor: Konstantinos Sfakianakis

Limbă:

Legare: Carte broșată

Editura: VDM Verlag

Disponibilitate: În depozitul extern

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Statistical arbitrage refers to quantitative trading techniques which have met the appreciation of b...

Informații despre carte

Autor

Konstantinos Sfakianakis

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2011

Pagini

100

EAN

9783639340198

ISBN

3639340191

Enbook ID

06840613

Editura

VDM Verlag

Greutate

159

Dimensiuni

152 x 229 x 6

Descriere completă

Statistical arbitrage refers to quantitative trading techniques which have met the appreciation of both investors and researchers the last 30 years. This effort helps reader to familiarize with the concept of statistical arbitrage and the variety of its techniques. Moreover we employed pairs trading method of statistical arbitrage and through real-life data we put it to the test. Though there are quite a few ways to apply and exploit pairs trading, we chose a co-integration approach. In this way and combined with a specialty of the data sample used, which includes an alternation in market performance, we draw additional conclusions about the implications of such alternations in long run relations. The concept of statistical arbitrage has drawn the interest of modern finance and stock brokering and is quite sure that it can earn the respect of every potential investor.

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Statistical Arbitrage and Long Run Relations

Evidence from two different stock markets

Informații despre carte

Descriere completă

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