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Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

captured, the model is arbitrage free, and market informational efficiency is preserved. Simulation shows that in such a market …

Persistent link: https://www.econbiz.de/10013555665

Commodity futures markets and trading strategies opportunities

Falbo, Paolo - In: Modelling techniques for financial markets and bank …, (pp. 48-64). 1996

Persistent link: https://www.econbiz.de/10001292510

Diversified Statistical Arbitrage : Dynamically Combining Mean Reversion and Momentum Strategies

Velissaris, James - 2010

diversified statistical arbitrage approach. The mean reversion strategy decomposes stock returns into market and idiosyncratic …

Persistent link: https://www.econbiz.de/10013138801

Yield curve investing : optimizing risk-adjusted returns

Corcoran, Charles - In: Global journal of business research : GJBR 7 (2013) 2, pp. 95-102

Persistent link: https://www.econbiz.de/10009675680

Yield Curve Investing : Optimizing Risk-Adjusted Returns

Corcoran, Charles - 2013

This paper investigates how recent changes in market interest rates have affected risk-adjusted returns. Returns are adjusted for duration, a measure of interest rate risk. Prior to the 2007-2008 rate decrease, one-year Treasuries offered the best risk/return tradeoff. As a result of the rate...

Persistent link: https://www.econbiz.de/10013090162