Open AccessTesting Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies
Author(s) -
Robert A. Jarrow,
Steve Hogan,
Melvyn Teo,
Mitch Warachka
Publication year - 2003
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.386440
Subject(s) - arbitrage , statistical arbitrage , efficient market hypothesis , momentum (technical analysis) , econometrics , financial economics , economics , value (mathematics) , index arbitrage , business , mathematics , capital asset pricing model , risk arbitrage , statistics , geology , arbitrage pricing theory , petrology , horse , stock market
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