Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market

DOI10.1007/S10690-020-09317-1zbMath1467.91156OpenAlexW3043097733MaRDI QIDQ2036881

Navdeep Aggarwal, Geetu Aggarwal

Publication date: 30 June 2021

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-020-09317-1

zbMATH Keywords

cointegrationdistance methodpairs tradingstatistical arbitragestock futures

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The mathematics of arbitrage
• Model-based pairs trading in the bitcoin markets
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Common risk factors in the returns on stocks and bonds
• Pairs trading

This page was built for publication: Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market