We have over a million books in stock

Bookbot
The book is currently out of stock

Making Money with statistical Arbitrage

Generating Alpha in sideway Markets with this Option Strategy

Authors

60 pages

More about the book

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.

Parameters

ISBN
9783656201991
Publisher
GRIN Verlag

Categories

Book variant

2012, paperback

Book purchase

We’ll notify you via email once we track it down.