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Abstract
When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major ETFs (Exchange Traded Funds) in the U.S. market.
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No potential conflict of interest was reported by the authors.
Additional information
Notes on contributors
Si Bao
Si Bao is now working in Xiangcai security Co., LTD. She studied for her Ph.D. in School of Statistics from ECNU.
Shi Chen
Shi Chen is a data scientist of PayPal Holding Inc. He received his Ph.D in statistics from ECNU in 2017.
Xi Wang
Xi Wang is a researcher of DCE Institute for Futures and Options, Beijing. He received his Ph.D in statistics from ECNU in 2018.
Wei An Zheng
Wei An Zheng is Professor of ECNU and Professor Emeritus of University of California, Irvine, USA.
Yu Zhou
Yu Zhou works in Guotai Junan Securities. He received his Ph.D in statistics from ECNU in 2016.