Making Money with statistical Arbitrage: Generating Alpha in sideway Markets with this Option Strategy
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More about the book
The study explores the hedge fund industry, focusing on regulation and various strategies, with an emphasis on statistical arbitrage. It introduces a semi-variance model that improves upon the standard Garch model by accounting for skewness, resulting in higher returns with lower volatility. The model integrates mean reversion and chart pattern detection, utilizing Brownian motion and technical analysis for significant investment returns. The findings challenge the market efficiency hypothesis, suggesting profitable trading opportunities and highlighting the need for further research in advanced CAPM and market timing strategies.
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Making Money with statistical Arbitrage: Generating Alpha in sideway Markets with this Option Strategy, Jan Becker
- Language
- Released
- 2013
Payment methods
- Title
- Making Money with statistical Arbitrage: Generating Alpha in sideway Markets with this Option Strategy
- Language
- English
- Authors
- Jan Becker
- Publisher
- Anchor Academic Publishing
- Publisher
- 2013
- Format
- Paperback
- Pages
- 56
- ISBN13
- 9783954890132
- Category
- Business and Economics
- Description
- The study explores the hedge fund industry, focusing on regulation and various strategies, with an emphasis on statistical arbitrage. It introduces a semi-variance model that improves upon the standard Garch model by accounting for skewness, resulting in higher returns with lower volatility. The model integrates mean reversion and chart pattern detection, utilizing Brownian motion and technical analysis for significant investment returns. The findings challenge the market efficiency hypothesis, suggesting profitable trading opportunities and highlighting the need for further research in advanced CAPM and market timing strategies.