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Risk control of mean-reversion time in statistical arbitrage - MaRDI portal

Risk control of mean-reversion time in statistical arbitrage

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Publication:3119660

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DOI10.3233/RDA-170132zbMath1409.91223MaRDI QIDQ3119660

Joongyeub Yeo, George S. Papanicolaou

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

zbMATH Keywords

principal components portfolio selection residuals factor models statistical arbitrage market neutrality mean-reversion time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Statistical arbitrage for multiple co-integrated stocks ⋮ High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control ⋮ A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

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