Application of continuous-time random walk to statistical arbitrage

Sergey Osmekhin, Frédéric Délèze

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

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.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftJOURNAL OF ENGINEERING SCIENCE AND TECHNOLOGY REVIEW
Volym8
Utgåva1
Sidor (från-till)91-95
Antal sidor4
ISSN1791-9320
StatusPublicerad - 2015
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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