A fundamentally risky approach to arbitrage
Alsayed, Hamad and McGroarty, Frank (2012) A fundamentally risky approach to arbitrage. Management Science (Submitted).
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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.
|Subjects:||H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
|Divisions:||Faculty of Business and Law > Southampton Management School > Finance
|Date Deposited:||24 Sep 2012 15:33|
|Last Modified:||24 Sep 2012 15:35|
|Contributors:||Alsayed, Hamad (Author)
McGroarty, Frank (Author)
|Date:||17 September 2012|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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