Statistical arbitrage under the efficient market hypothesis

DOI10.1080/24754269.2019.1670525OpenAlexW2978918645WikidataQ127173393 ScholiaQ127173393MaRDI QIDQ5880030

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Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2019.1670525

zbMATH Keywords

Black-Scholes modelstationary processstatistical arbitrage

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The Pricing of Options and Corporate Liabilities
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