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

^*此作品的通讯作者

统计学院

East China Normal University

科研成果: 期刊稿件 › 文章 › 同行评审

摘要

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.

源语言	英语
页（从-至）	84-96
页数	13
期刊	Statistical Theory and Related Fields
卷	4
期	1
DOI	https://doi.org/10.1080/24754269.2019.1670525
出版状态	已出版 - 2 1月 2020

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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",

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AU - Zhou, Yu

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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

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Statistical arbitrage under the efficient market hypothesis

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