Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 9 of 9 for “"statistical arbitrage"”.
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Statistical arbitrage in South Africa
This study investigates the performance of a statistical arbitrage portfolio in the South African equity markets. A portfolio of liquid stock pairs that exhibit cointegration is traded for a ten year period between the years 2003 and 2013. Without transaction costs, the portfolio has an encouraging …
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Statistical arbitrage in South African equity markets
The dissertation implements a model driven statistical arbitrage strategy that uses the principal components from Principal Component Analysis as factors in a multi-factor stock model, to isolate the idiosyncratic component of returns, which is then modelled as an Ornstein Uhlenbeck process. The …
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Statistical arbitrage in South African financial markets
Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This …
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AI/Machine learning approach to identifying potential statistical arbitrage opportunities with FX and Bitcoin Markets
In this study, a methodology is presented where a hybrid system combining an evolutionary algorithm with artificial neural networks (ANNs) is designed to make weekly directional change forecasts on the USD by inferring a prediction using closing spot rates of three currency pairs: EUR/USD, GBP/USD …
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An online learning algorithm for technical trading
… aggregated trading strategies are tested for statistical arbitrage using a novel hypothesis test proposed by Jarrow et al. [31] on both daily sampled and intraday time-scales. The (low frequency) daily sampled strategies fail the arbitrage tests after costs, while the (high frequency) intraday …
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Ambiguity Aversion in Commodity Markets
… interconnectors from the perspective of statistical arbitrage with model uncertainty. We provide closed-form optimal strategies when there is no ambiguity and obtain perturbative approximations of the robust optimal strategies. We illustrate the efficacy of the resulting strategies on …
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Learning, dynamics of beliefs, and asset pricing
In the first chapter, I study the impact of statistical arbitrage on equilibrium asset prices. Arbitrageurs have to learn about the long-run behavior of the stock price process. They condition their investment strategy on the observation of price and volume. The learning process of the statistical …
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Developing high-frequency equities trading models
… different types of time frames: either on the statistical arbitrage typical type of time frames (with valuation horizons and trading periods in the order of days or weeks to maybe even months), or in the purely high frequency environment (with time frames on the order of the milliseconds). On …
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Three essays on stock returns predictability and trading strategies to exploit it
… the UK are profitable and can be classified as statistical arbitrages, with consequent implications for the market efficiency hypothesis. We investigate the existence of mean reversion in the G-7 economies using a two factor continuous time model for national stock index data. Whilst maintaining …