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 hypothe...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 ETFs(Exchange Traded Funds)in the U.S.market.展开更多
If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process,then we can use the moving average of the historical payoffs to f...If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process,then we can use the moving average of the historical payoffs to forecast and the corresponding errors form a generalised mean reversion process.Thus we can price the financial derivatives by its moving average.One can even possibly get statistical arbitrage from certain derivative pricing.Weparticularly discuss the example of European call options.We show that there is a possibility to get statistical arbitrage from Black-Scholes’s option price.展开更多
This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies.To identify the most suitable pairs and generate trading signals formulated from a reference asset for a...This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies.To identify the most suitable pairs and generate trading signals formulated from a reference asset for analyzing the mispricing index,the study employs linear and nonlinear cointegration tests,a correlation coefficient measure,and fits different copula families,respectively.The strategy’s performance is then evaluated by conducting back-testing for various triggers of opening positions,assessing its returns and risks.The findings indicate that the proposed method outperforms previously examined trading strategies of pairs based on cointegration or copulas in terms of profitability and risk-adjusted returns.展开更多
文摘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 ETFs(Exchange Traded Funds)in the U.S.market.
文摘If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process,then we can use the moving average of the historical payoffs to forecast and the corresponding errors form a generalised mean reversion process.Thus we can price the financial derivatives by its moving average.One can even possibly get statistical arbitrage from certain derivative pricing.Weparticularly discuss the example of European call options.We show that there is a possibility to get statistical arbitrage from Black-Scholes’s option price.
基金financial support of the grant GAČR 22-19617 S“Modeling the structure and dynamics of energy,commodity,and alternative asset prices.”。
文摘This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies.To identify the most suitable pairs and generate trading signals formulated from a reference asset for analyzing the mispricing index,the study employs linear and nonlinear cointegration tests,a correlation coefficient measure,and fits different copula families,respectively.The strategy’s performance is then evaluated by conducting back-testing for various triggers of opening positions,assessing its returns and risks.The findings indicate that the proposed method outperforms previously examined trading strategies of pairs based on cointegration or copulas in terms of profitability and risk-adjusted returns.
