Statistical Arbitrage and Securities Prices

Preprint

1 January 2002

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.320943

Abstract

This paper introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizon economy, an SAO is a zero-cost trading strategy for which i)

Keywords

ARBITRAGE
PRICING KERNEL
MARKET EFFICIENCY HYPOTHESIS
RATIONAL LEARNING
OPTION VALUATION
RISK-NEUTRAL DENSITY
PESO PROBLEM

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