Statistical Arbitrage in the Black-Scholes Framework
A 2014 paper by Göncü on pairs trading and statistical arbitrage in equities, using a mathematical derivation: the abstract mentions a Sharpe ratio and profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“We derive analytical formulas for the expected value, variance, and probability of loss for the discounted cumulative trading profits.”
AssetEquities
StrategyPairs trading
TechniqueMathematical derivation
ClaimSharpe ratioprofit
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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