The Statistics of Statistical Arbitrage

One form of statistical arbitrage is a strategy used to exploit short-term volatility in securities. Such techniques resemble market-making. In an article in the September/October 2007 Financial Analysts Journal, Fernholz and Maguire show that these strategies can achieve remarkably high information ratios.

For more information, see all articles on: Active Management, Investment Returns, Risk Management

See also:
  • Hedge Fund Strategies: Risk Arbitrage
  • Risk and Return in Fixed Income Arbitrage
  • The Relative Value Arbitrage Style
  • Estimating the Market Risk Premium Using Arbitrage Pricing Theory
  • Limitations to Achieving Fully Efficient Markets
  • Technical Analysis Explained : The Successful Investor's Guide to Spotting Investment Trends and Turning Points

    The Intelligent Investor: The Classic Text on Value Investing

    Financial Statement Analysis: A Practitioner's Guide, 3rd Edition

    Managing Investment Portfolios: A Dynamic Process (CFA Institute Investment Series)

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