Making Money with Statistical Arbitrage: Generating Alpha in Sideway Markets with This Option Strategy - Jan Becker - Boeken - Anchor Academic Publishing - 9783954890132 - 17 mei 2013
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Making Money with Statistical Arbitrage: Generating Alpha in Sideway Markets with This Option Strategy

Jan Becker

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Making Money with Statistical Arbitrage: Generating Alpha in Sideway Markets with This Option Strategy

In the following study, I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Statistical arbitrage in particular is explained in further detail, and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is often used in daily option trading, derivate pricing and risk management. As investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provides significant returns to the investment. While the market efficiency hypothesis states the impossibility of long-term arbitrage opportunities, market anomalies outstand significantly. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-of-sample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage.

Media Boeken     Paperback Book   (Boek met zachte kaft en gelijmde rug)
Vrijgegeven 17 mei 2013
ISBN13 9783954890132
Uitgevers Anchor Academic Publishing
Pagina's 56
Afmetingen 146 × 3 × 207 mm   ·   86 g
Taal en grammatica Engels  

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