Statistical arbitrage and risk contagion
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Publication:2102882
DOI10.1016/J.JEDC.2022.104528OpenAlexW4296311821MaRDI QIDQ2102882FDOQ2102882
Publication date: 12 December 2022
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104528
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Cites Work
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Cross-section instability in financial markets: impatience, extrapolation, and switching
- Contagion in financial networks
- The dynamics of speculative behaviour
- Statistical arbitrage in the US equities market
- Contagion and risk-sharing on the inter-bank market
- Speculative behavior and the dynamics of interacting stock markets
Cited In (9)
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
- Generalized statistical arbitrage concepts and related gain strategies
- Statistical arbitrage under the efficient market hypothesis
- Statistical arbitrage with default and collateral
- Statistical testing for asymptotic no-arbitrage in financial markets
- A statistical procedure for testing financial contagion
- Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market
- Statistical arbitrage for multiple co-integrated stocks
- Risk control of mean-reversion time in statistical arbitrage
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