Statistical arbitrage : factor investing approach
Year of publication: |
2023
|
---|---|
Authors: | Akyildirim, Erdinc ; Goncu, Ahmet ; Hekimoglu, Alper ; Nguyen, Duc Khuong ; Sensoy, Ahmet |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 1436-6304, ZDB-ID 1467029-X. - Vol. 45.2023, 4, p. 1295-1331
|
Subject: | Factor models | Geometric Brownian motion | Monte Carlo simulation | Statistical arbitrage | Trading strategies | Arbitrage | Theorie | Theory | Monte-Carlo-Simulation | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Arbitrage Pricing | Arbitrage pricing | Faktorenanalyse | Factor analysis | Statistische Methode | Statistical method | Simulation | CAPM |
-
High-dimensional statistical arbitrage with factor models and stochastic control
Guijarro-Ordonez, Jorge, (2019)
-
Focardi, Sergio M., (2016)
-
Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt
Schneider, Sebastian, (2001)
- More ...
-
Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes
Akyildirim, Erdinc, (2019)
-
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc, (2022)
-
Forecasting high‐frequency excess stock returns via data analytics and machine learning
Akyildirim, Erdinc, (2021)
- More ...