Statistical arbitrage and risk contagion

DOI10.1016/j.jedc.2022.104528OpenAlexW4296311821MaRDI QIDQ2102882

Daniel Ladley, Xing Gao

Publication date: 12 December 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104528

zbMATH Keywords

financial networkmarket stabilitystatistical arbitragerisk contagion

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The dynamics of speculative behaviour
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Contagion and risk-sharing on the inter-bank market
• Speculative behavior and the dynamics of interacting stock markets
• Cross-section instability in financial markets: impatience, extrapolation, and switching
• Statistical arbitrage in the US equities market
• Contagion in financial networks

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