Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical … arbitrage appears to lead to significant deviation from fundamentals. Our results can facilitate market oversight and provide …