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Statistical Arbitrage, Avellaneda & Lee - Estimation of the Residual Process

if i'm reading your code correctly, you have look forward bias. in the second block of code, you use the mean and stdv of the entire return series, rather than a backwards looking measure of those ...
time to bounce's user avatar
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Showing a basic market admits no arbitrage

I will take "the discounted price equals the non-discounted price" to mean the interest rate is zero. Suppose $0 < \alpha < \beta \leq 1$ and consider the strategy of shorting one ...
msantama's user avatar
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