Statistical Arbitrage and Long Run Relations: Evidence from two different stock markets - Softcover

Sfakianakis, Konstantinos

Softcover

ISBN 10: 3639340191 ISBN 13: 9783639340198

Publisher: VDM Verlag Dr. Müller, 2011

Synopsis

Statistical arbitrage refers to quantitative trading techniques which have met the appreciation of both investors and researchers the last 30 years. This effort helps reader to familiarize with the concept of statistical arbitrage and the variety of its techniques. Moreover we employed pairs trading method of statistical arbitrage and through real-life data we put it to the test. Though there are quite a few ways to apply and exploit pairs trading, we chose a co-integration approach. In this way and combined with a specialty of the data sample used, which includes an alternation in market performance, we draw additional conclusions about the implications of such alternations in long run relations. The concept of statistical arbitrage has drawn the interest of modern finance and stock brokering and is quite sure that it can earn the respect of every potential investor.

About this title

About the Author

Konstantinos Sfakianakis owns a degree in finance and insurance as well as a master's degree in business economics, finance and banking. He worked for two of the largest financial institutions of Greece and for the time being he is working on empirical researches related to finance and banking.

Edition details

• Publisher: VDM Verlag Dr. Müller
• Publication date: 2011
• Language: English
• ISBN 10: 3639340191
• ISBN 13: 9783639340198
• Binding: Paperback
• Number of pages: 100