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Making Money with statistical Arbitrage
Generating Alpha in sideway Markets with this Option Strategy
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The thesis provides an overview of the hedge fund industry, focusing on its regulation and various strategies, with a detailed analysis of statistical arbitrage. It introduces a semi-variance model that accounts for skewness, offering improved returns at lower volatility compared to the standard Garch model. By merging mean reversion and chart pattern detection, the model utilizes Brownian motion and technical analysis to generate significant investment returns. The findings suggest a profitable trading system, warranting further research into higher moment CAPM and market timing strategies.
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Making Money with statistical Arbitrage, Jan Becker
- Language
- Released
- 2012
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- Title
- Making Money with statistical Arbitrage
- Subtitle
- Generating Alpha in sideway Markets with this Option Strategy
- Language
- English
- Authors
- Jan Becker
- Publisher
- GRIN Verlag
- Released
- 2012
- Format
- Paperback
- Pages
- 60
- ISBN13
- 9783656201991
- Category
- Business and Economics
- Description
- The thesis provides an overview of the hedge fund industry, focusing on its regulation and various strategies, with a detailed analysis of statistical arbitrage. It introduces a semi-variance model that accounts for skewness, offering improved returns at lower volatility compared to the standard Garch model. By merging mean reversion and chart pattern detection, the model utilizes Brownian motion and technical analysis to generate significant investment returns. The findings suggest a profitable trading system, warranting further research into higher moment CAPM and market timing strategies.