Open AccessStatistical Arbitrage Strategy in Multi-Asset Market Using Time Series Analysis
Author(s) -
Takahiro Imai,
Kei Nakagawa
Publication year - 2020
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2020.102020
Subject(s) - mean reversion , statistical arbitrage , pairs trade , econometrics , economics , portfolio , arbitrage , trading strategy , profitability index , investment strategy , financial economics , arbitrage pricing theory , index arbitrage , asset (computer security) , asset allocation , algorithmic trading , capital asset pricing model , risk arbitrage , computer science , finance , market liquidity , alternative trading system , computer security
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