Robust statistical arbitrage
Statistical Arbitrage Opportunity (SAO) originally introduced by Bondarenko(2003) is a zero-cost trading strategy for which (i) the expected payoff is positive, and (ii) the conditional expected payoff in each final state of the economy is nonnegative. Unlike pure arbitrage strategies, SAOs are not...
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| Format: | Final Year Project (FYP) |
| Language: | English |
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Nanyang Technological University
2021
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| Online Access: | https://hdl.handle.net/10356/148416 |