Statistical arbitrage under the efficient market hypothesis
When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2020-01-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2019.1670525 |