Publication: Statistical arbitrage in the multi-asset Black–Scholes economy
Statistical arbitrage in the multi-asset Black–Scholes economy
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Göncü, A., & Akyildirim, E. (2017). Statistical arbitrage in the multi-asset Black–Scholes economy. Annals of Financial Economics, 12(01), 1750004–1750004. https://doi.org/10.1142/S201049521750004X
Abstract
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In this study, we consider the statistical arbitrage definition given in Hogan, S, R Jarrow, M Teo and M Warachka (2004). Testing market efficiency using statistical arbitrage with applications to momentum and value strategies, Journal of Financial Economics, 73, 525–565 and derive the statistical arbitrage condition in the multi-asset Black–Scholes economy building upon the single asset case studied in Göncü, A (2015). Statistical arbitrage in the Black Scholes framework. Quantitative Finance, 15(9), 1489–1499. Statistical arbitrage
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- Göncü, Ahmet
- Akyildirim, Erdinc
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Göncü, A., & Akyildirim, E. (2017). Statistical arbitrage in the multi-asset Black–Scholes economy. Annals of Financial Economics, 12(01), 1750004–1750004. https://doi.org/10.1142/S201049521750004X