Arbitrage trading with fundamental risk
Alsayed, Hamad and McGroarty, Frank (2012) Arbitrage trading with fundamental risk. Economics Letters (Submitted).
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Studies of statistical arbitrage based on the price convergence between related securities often rely on Ornstein-Uhlenbeck (OU) dynamics. OU does not account for deteriorations in the pricing relationship, a well-documented economic risk factor termed "fundamental risk". We introduce a nonlinear generalization of OU aimed at capturing this phenomenon.
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Business and Law > Southampton Management School > Finance
|Date Deposited:||25 Jul 2012 11:48|
|Last Modified:||25 Jul 2012 11:48|
|Contributors:||Alsayed, Hamad (Author)
McGroarty, Frank (Author)
|Date:||29 February 2012|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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