Statistical arbitrage in jump-diffusion models with compound Poisson processes

DOI10.1007/S10479-021-03965-WMaRDI QIDQ2151680zbMATH OpenOpenAlexFDO

Authors Frank J. Fabozzi, Ahmet Sensoy, Erdinç Akyıldırım, Ahmet Göncü

Publication date 5 July 2022

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11693/77243

zbMATH Keywords

Monte Carlo simulationjump-diffusion modelcompound Poisson processstatistical arbitrage

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Interest rates, asset pricing, etc. (stochastic models) (91G30) Jump processes on discrete state spaces (60J74)

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Cites work

• A jump-diffusion model for option pricing
• Diversified Portfolios in Continuous Time *
• Empirical properties of asset returns: stylized facts and statistical issues
• Financial Modelling with Jump Processes
• First passage time law for some Lévy processes with compound Poisson: existence of a density
• First passage times of a jump diffusion process
• Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
• Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
• Mixed-asset portfolio allocation under mean-reverting asset returns
• On the robustness of portfolio allocation under copula misspecification
• Option pricing when underlying stock returns are discontinuous
• Pairs trading
• Statistical arbitrage in the Black-Scholes framework
• The Term Structure of Simple Forward Rates with Jump Risk

Cited in

(10)

• Robust statistical arbitrage strategies
• 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 with default and collateral
• Statistical arbitrage in the Black-Scholes framework
• Statistical arbitrage: factor investing approach
• Risk control of mean-reversion time in statistical arbitrage
• Implied price processes anchored in statistical realizations
• On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
• Statistical arbitrage under a fractal price model

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