Statistical arbitrage and risk contagion

DOI10.1016/J.JEDC.2022.104528MaRDI QIDQ2102882zbMATH OpenOpenAlexFDO

Authors Xing Gao, Daniel Ladley

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

zbMATH Keywords

financial networkmarket stabilityrisk contagionstatistical arbitrage

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• Contagion phenomena with applications in finance
• Contagion in financial networks
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• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
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Cites work

• Contagion and risk-sharing on the inter-bank market
• Contagion in financial networks
• Cross-section instability in financial markets: impatience, extrapolation, and switching
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Speculative behavior and the dynamics of interacting stock markets
• Statistical arbitrage in the US equities market
• The dynamics of speculative behaviour

Cited in

(13)

• Impact of value-at-risk models on market stability
• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
• Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market
• Systematic risk in pairs trading and dynamic parameterization
• Statistical arbitrage for multiple co-integrated stocks
• The implied arbitrage mechanism in financial markets
• Statistical testing for asymptotic no-arbitrage in financial markets
• Risk control of mean-reversion time in statistical arbitrage
• A statistical procedure for testing financial contagion
• Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
• Statistical arbitrage under the efficient market hypothesis
• Generalized statistical arbitrage concepts and related gain strategies
• Statistical arbitrage with default and collateral

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