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The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity … good indicator of the future profitability as well.Conclusive observations show that arbitrage profitability is in fact …
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This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and …
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As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to...
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