A fundamentally risky approach to arbitrage

Alsayed, Hamad and McGroarty, Frank (2012) A fundamentally risky approach to arbitrage. Management Science (Submitted).


Full text not available from this repository.


Studies of statistical arbitrage based on price convergence between related assets typically rely on Ornstein-Uhlenbeck (OU) dynamics. OU does not allow for the breakdown in the price parity relationship, a well-documented economic risk called "fundamental risk". We employ a nonlinear generalization of OU that accommodates this risk.

Item Type: Article
ISSNs: 0025-1909 (print)
1526-5501 (electronic)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Business and Law > Southampton Management School > Finance
ePrint ID: 343125
Date Deposited: 24 Sep 2012 15:33
Last Modified: 27 Mar 2014 20:25
URI: http://eprints.soton.ac.uk/id/eprint/343125

Actions (login required)

View Item View Item