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

Statistical arbitrage under the efficient market hypothesis. (English) Zbl 07660226

Stat. Theory Relat. Fields 4, No. 1, 84-96 (2020).
Summary: 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.

MSC:

62-XX Statistics

Keywords:

stationary process; statistical arbitrage; Black-Scholes model
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Full Text: DOI

References:

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