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- Q2859660 subject Q7013555.
- Q2859660 subject Q7485053.
- Q2859660 abstract "In the world of finance and investments, statistical arbitrage is used in two related but distinct ways: In academic literature, "statistical arbitrage" is opposed to (deterministic) arbitrage. In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others. In statistical arbitrage, there is a statistical mispricing of one or more assets based on the expected value of these assets. In other words, statistical arbitrage conjectures statistical mispricings of price relationships that are true in expectation, in the long run when repeating a trading strategy. Among those who follow the hedge fund industry, "statistical arbitrage" refers to a particular category of hedge funds (other categories include global macro, convertible arbitrage, and so on). In this narrower sense, statistical arbitrage is often abbreviated as Stat Arb or StatArb. According to Andrew Lo, StatArb "refers to highly technical short-term mean-reversion strategies involving large numbers of securities (hundreds to thousands, depending on the amount of risk capital), very short holding periods (measured in days to seconds), and substantial computational, trading, and information technology (IT) infrastructure".↑ ↑ ↑".
- Q2859660 wikiPageExternalLink StatArb.pdf.
- Q2859660 wikiPageExternalLink 0470023511.pdf.
- Q2859660 wikiPageExternalLink abstract=1371903..
- Q2859660 wikiPageExternalLink abstract=1505073..
- Q2859660 wikiPageExternalLink www.apt.com.
- Q2859660 wikiPageExternalLink www.axioma.com.
- Q2859660 wikiPageExternalLink statisticalarbitrage4.doc.doc.
- Q2859660 wikiPageExternalLink statisticalarbitrage5.doc.doc.
- Q2859660 wikiPageExternalLink statisticalarbitrage6.doc.doc.
- Q2859660 wikiPageExternalLink AvellanedaLeeStatArb071108.pdf.
- Q2859660 wikiPageExternalLink www.northinfo.com.
- Q2859660 wikiPageExternalLink www.riskinfotech.com.
- Q2859660 wikiPageExternalLink faj.v63.n5.pdf.
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- Q2859660 comment "In the world of finance and investments, statistical arbitrage is used in two related but distinct ways: In academic literature, "statistical arbitrage" is opposed to (deterministic) arbitrage. In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others. In statistical arbitrage, there is a statistical mispricing of one or more assets based on the expected value of these assets.".
- Q2859660 label "Statistical arbitrage".