Statistical arbitrage under the efficient market hypothesis

Si Bao; Shi Chen; Xi Wang; Wei An Zheng; Yu Zhou

doi:10.1080/24754269.2019.1670525

Statistical arbitrage under the efficient market hypothesis

Si Bao
, Shi Chen
, Xi Wang
, Wei An Zheng^*
, Yu Zhou

^*Corresponding author for this work

School of Statistics

East China Normal University

Research output: Contribution to journal › Article › peer-review

Abstract

When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major ETFs (Exchange Traded Funds) in the U.S. market.

Original language	English
Pages (from-to)	84-96
Number of pages	13
Journal	Statistical Theory and Related Fields
Volume	4
Issue number	1
DOIs	https://doi.org/10.1080/24754269.2019.1670525
State	Published - 2 Jan 2020

Keywords

Black–Scholes model
Stationary process
statistical arbitrage

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10.1080/24754269.2019.1670525

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title = "Statistical arbitrage under the efficient market hypothesis",

abstract = "When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major ETFs (Exchange Traded Funds) in the U.S. market.",

keywords = "Black–Scholes model, Stationary process, statistical arbitrage",

author = "Si Bao and Shi Chen and Xi Wang and Zheng, \{Wei An\} and Yu Zhou",

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doi = "10.1080/24754269.2019.1670525",

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N2 - When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major ETFs (Exchange Traded Funds) in the U.S. market.

AB - When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major ETFs (Exchange Traded Funds) in the U.S. market.

KW - Black–Scholes model

KW - Stationary process

KW - statistical arbitrage

UR - https://www.scopus.com/pages/publications/85074007377

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DO - 10.1080/24754269.2019.1670525

M3 - 文章

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Statistical arbitrage under the efficient market hypothesis

Abstract

Keywords

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