文章基本信息

标题：What Is Statistical Arbitrage?
本地全文：下载
作者：Marco Lazzarino ; Jenny Berrill ; Aleksandar Šević 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2018
卷号：08
期号：05
页码：888-908
DOI：10.4236/tel.2018.85063
语种：English
出版社：Scientific Research Publishing
摘要：Statistical Arbitrage (SA) is a common financial term. However, there is no common definition in the literature while investors use the expression SA for a variety of different strategies. So, what is SA? In order to answer this question, we investigate SA strategies across equity, fixed income and commodity. The analysis of strategies’ key features indicates that no existing definition fully describes them. To bridge this gap, we identify a general definition and propose a classification system that encompasses the current forms of SA strategies while facilitating the inclusion of new types as they emerge.
关键词：Statistical Arbitrage;Investment Strategies;Classification