Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
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DOI: 10.1007/s10690-020-09317-1
Abstract: Statistical arbitrage is a trading strategy that employs time series methods to identify relative mispricing between securities based on the expected values of these assets. The Pairs Trading, one of the techniques of statistical arbitrage,… read more here.
Keywords: pairs trading; trading; statistical arbitrage; strategy ... See more keywords
Statistical arbitrage with vine copulas
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DOI: 10.1080/14697688.2018.1438642
Abstract: We develop a multivariate statistical arbitrage strategy based on vine copulas—a highly flexible instrument for linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and economically significant… read more here.
Keywords: vine copulas; vine; statistical arbitrage; arbitrage vine ... See more keywords