Generalized statistical arbitrage concepts and related gain strategies

DOI10.1111/mafi.12300zbMath1521.91349arXiv1907.09218OpenAlexW3129305208MaRDI QIDQ6054359

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Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.09218

zbMATH Keywords

trading strategiesstatistical arbitrageno-arbitrage concepts

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Additive portfolio improvement and utility-efficient payoffs
• The mathematics of arbitrage
• Statistical arbitrage in the US equities market
• On the optimal risk allocation problem
• Statistical arbitrage in the Black–Scholes framework
• Pairs trading
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