Abstract
An analytical statistical arbitrage strategy is proposed, where the distribution of the spread is modelled as a continuous-time random walk. Optimal boundaries, computed as a function of the mean and variance of the first-passage time of the spread, maximises an objective function. The predictability of the trading strategy is analysed and contrasted for two forms of continuous-time random walk processes. We found that the waiting-time distribution has a significant impact on the prediction of the expected profit for intraday trading.
| Original language | English |
|---|---|
| Peer-reviewed scientific journal | JOURNAL OF ENGINEERING SCIENCE AND TECHNOLOGY REVIEW |
| Volume | 8 |
| Issue number | 1 |
| Pages (from-to) | 91-95 |
| Number of pages | 4 |
| ISSN | 1791-9320 |
| Publication status | Published - 2015 |
| MoE publication type | A1 Journal article - refereed |
Keywords
- 512 Business and Management