Testing investment strategies for statistical arbitrage
Γκέτζος, Πέτρος Κ.
SubjectArbitrage -- Mathematical models ; Securities ; Investments ; Stochastic processes -- Mathematical models
In the following paper we are going to penetrate Market’s equilibrium by introducing the concept of Statistical Arbitrage. Persistent anomalies that exist in the economy and cannot be fully explained by equilibrium models will be put under the test of investment strategies that were designed to exploit circumstances like these. We will give the essence of Statistical Arbitrage, the theoretical base that constitutes it as well as the methodology that will be used for testing while the joint hypothesis dilemma is being bypassed without being invoked. Finally we will compare the abovementioned strategies concerning the statistical arbitrary level they produce.