Arbitrage thống kê: phương pháp đầu tư theo yếu tố

Akyildirim E, Fabozzi FJ, Goncu A, Sensoy A (2022) Statistical arbitrage in jump-diffusion models with compound poisson processes. Ann Oper Res 313:1357–1371 Avellaneda M, Lee JH (2010) Statistical arbitrage in the us equities market. Quant Financ 10:761–782 Bertram WK (2009) Optimal trading strategies for Itô diffusion processes. Phys A 388:2865–2873 Bertram WK (2010) Analytical solutions for optimal statistical arbitrage trading. Phys A 389:2234–2243 Bondarenko O (2003) Statistical arbitrage and securities prices. Rev Financ Stud 16:875–919 Christodoulakis GA (2002) Sharpe style analysis in the msci sector portfolios: a monte carlo integration approach. Oper Res Int J 2:123–137 Cummins M, Bucca A (2012) Quantitative spread trading on crude oil and refined products markets. Quanti Financ 12:1857–1875 Do B, Faff R (2010) Does simple pairs trading still work? Financ Anal J 66:83–95 Elliott RJ, Van Der Hoek J, Malcolm WP (2005) Pairs trading. Quant Financ 5:271–276 Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J Financ Econ 33:3–56 Focardi SM, Fabozzi FJ, Mitov IK (2016) A new approach to statistical arbitrage: strategies based on dynamic factor models of prices and their performance. J Bank Financ 65:134–155 Gatev E, Goetzmann WN, Rouwenhorst KG (2006) Pairs trading: performance of a relative-value arbitrage rule. Rev Financ Stud 19:797–827 Giesecke K, Smelov D (2013) Exact sampling of jump diffusions. Oper Res 61:894–907 Göncü A (2015) Statistical arbitrage in the black-scholes framework. Quant Financ 15:1489–1499 Göncü A, Akyildirim E (2017) Statistical arbitrage in the multi-asset black-scholes economy. Ann Financ Econ 12:1750004 Helmes K, Röhl S, Stockbridge RH (2001) Computing moments of the exit time distribution for markov processes by linear programming. Oper Res 49:516–530 Hogan S, Jarrow R, Teo M, Warachka M (2004) Testing market efficiency using statistical arbitrage with applications to momentum and value strategies. J Financ Econ 73:525–565 Huck N (2019) Large data sets and machine learning: applications to statistical arbitrage. Eur J Oper Res 278:330–342 Huck N, Afawubo K (2015) Pairs trading and selection methods: is cointegration superior? Appl Econ 47:599–613 Jabali O, Leus R, Van Woensel T, De Kok T (2015) Self-imposed time windows in vehicle routing problems. OR Spectrum 37:331–352 Jarrow R, Teo M, Tse YK, Warachka M (2012) An improved test for statistical arbitrage. J Financ Mark 15:47–80 Jarrow R, Li H, Ye X, Hu M (2019) Exploring mispricing in the term structure of CDS spreads. Rev Financ 23:161–198 Knoll J, Stübinger J, Grottke M (2019) Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S &P 500. Quant Financ 19:571–585 Kraft H, Steffensen M (2006) Portfolio problems stopping at first hitting time with application to default risk. Math Methods Oper Res 63:123–150 Krauss C, Do XA, Huck N (2017) Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S &P 500. Eur J Oper Res 259:689–702 Locatelli M (2001) Convergence and first hitting time of simulated annealing algorithms for continuous global optimization. Math Methods Oper Res 54:171–199 Lutkebohmert E, Sester J (2020) Robust statistical arbitrage strategies. Quantitative Finance (forthcoming) Mayordomo S, Pena JI, Romo J (2014) Testing for statistical arbitrage in credit derivatives markets. J Empir Financ 26:59–75 Nasekin S, Härdle WK (2019) Model-driven statistical arbitrage on letf option markets. Quant Financ 19:1817–1837 Page E (1965) On monte carlo methods in congestion problems: Ii. simulation of queuing systems. Oper Res 13:300–305 Revuz D, Yor M (2004) Continuous Martingales and Brownian Motion. Grundlehren der mathematischen Wissenschaften. Springer, Berlin Rossier Y, Troyon M, Liebling TM (1986) Probabilistic exchange algorithms and euclidean traveling salesman problems. Oper Res Spektrum 8:151–164 Shreve SE (2004) Stochastic Calculus for Finance II: Continuous-Time Models. Springer, New York Stübinger J (2019) Statistical arbitrage with optimal causal paths on high-frequency data of the S &P 500. Quant Financ 19:921–935 Stübinger J, Endres S (2018) Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. Quant Financ 18:1735–1751 Stübinger J, Mangold B, Krauss C (2018) Statistical arbitrage with vine copulas. Quant Financ 18:1831–1849 Wang X, Sloan IH (2011) Quasi-monte carlo methods in financial engineering: an equivalence principle and dimension reduction. Oper Res 59:80–95 White H (2000) A reality check for data snooping. Econometrica 68:1097–1126 Yoshitomi Y, Yamaguchi R (2003) A genetic algorithm and the monte carlo method for stochastic job-shop scheduling. Int Trans Oper Res 10:577–596 Zhu S, Fukushima M (2009) Worst-case conditional value-at-risk with application to robust portfolio management. Oper Res 57:1155–1168