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Making Money with statistical Arbitrage
Generating Alpha in sideway Markets with this Option Strategy
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Více o knize
The thesis provides an overview of the hedge fund industry, focusing on its regulation and various strategies, with a detailed analysis of statistical arbitrage. It introduces a semi-variance model that accounts for skewness, offering improved returns at lower volatility compared to the standard Garch model. By merging mean reversion and chart pattern detection, the model utilizes Brownian motion and technical analysis to generate significant investment returns. The findings suggest a profitable trading system, warranting further research into higher moment CAPM and market timing strategies.
Nákup knihy
Making Money with statistical Arbitrage, Jan Becker
- Jazyk
- Rok vydání
- 2012
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Doručení
Platební metody
Navrhnout úpravu
- Titul
- Making Money with statistical Arbitrage
- Podtitul
- Generating Alpha in sideway Markets with this Option Strategy
- Jazyk
- anglicky
- Autoři
- Jan Becker
- Vydavatel
- GRIN Verlag
- Rok vydání
- 2012
- Vazba
- měkká
- Počet stran
- 60
- ISBN13
- 9783656201991
- Kategorie
- Podnikání a ekonomie
- Anotace
- The thesis provides an overview of the hedge fund industry, focusing on its regulation and various strategies, with a detailed analysis of statistical arbitrage. It introduces a semi-variance model that accounts for skewness, offering improved returns at lower volatility compared to the standard Garch model. By merging mean reversion and chart pattern detection, the model utilizes Brownian motion and technical analysis to generate significant investment returns. The findings suggest a profitable trading system, warranting further research into higher moment CAPM and market timing strategies.