Zobrazeno 1 - 2
of 2
pro vyhledávání: '"overnight price gaps"'
Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500
Autor:
Stübinger, Johannes, Schneider, Lucas
Publikováno v:
Journal of Risk and Financial Management, Vol 12, Iss 2, p 51 (2019)
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump–diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998–December 2015. In particular, the established st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::16a0d08c5d825a7998c73030b17e124d
https://www.mdpi.com/1911-8074/12/2/51
https://www.mdpi.com/1911-8074/12/2/51
Autor:
Stübinger, Johannes, Schneider, Lucas
Publikováno v:
Journal of Risk and Financial Management
Volume 12
Issue 2
Volume 12
Issue 2
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump&ndash
diffusion model and applies it to high-frequency data of the S&
P 500 constituents from January 1998&ndash
December 2015. In par
diffusion model and applies it to high-frequency data of the S&
P 500 constituents from January 1998&ndash
December 2015. In par
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=multidiscipl::a4e394e0f59cc84eb3f529fd2083ab3f