Application of continuous-time random walk to statistical arbitrage

Clicks: 304
ID: 28542
2015
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Abstract
An analytical statistical arbitrage strategy is proposed, where the distribution of the spread is modelled as a continuous-time random walk. Optimal boundaries, computed as a function of the mean and variance of the firstpassage time ofthe spread,maximises an objective function. The predictability of the trading strategy is analysed and contrasted for two forms of continuous-time random walk processes. We found that the waiting-time distribution has a significant impact on the prediction of the expected profit for intraday trading
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2015applicationjournal Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors , Sergey Osmekhin;D´el`eze, Fr´ed´eric;
Journal journal of engineering science and technology review
Year 2015
DOI
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URL
http://www.jestr.org/downloads/Volume8Issue1/fulltext168115.pdf
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