Forecasting semi-stationary processes and statistical arbitrage

Figures & data

Figure 1. The successive profit sequence $\left\{X\right(j\left)\right\}$ from 6th January 1995.

Figure 2. The daily price of SPY from 3rd January 1995 through 2nd July 2015.

Figure 3. The cumulated profits of SPY options when k = 0.98: (a) monthly expired options and (b) weekly expired options.

Figure 4. The cumulated profits of SPY options when k = 1: (a) monthly expired options and (b) weekly expired options.

Figure 5. The cumulated profits of SPY options when k = 1.02: (a) monthly expired options and (b) weekly expired options.

Figure 6. The daily price of QQQ from 10th March 1999 through 2nd July 2015.

Figure 7. The cumulated profits of QQQ options when k = 0.98: (a) monthly expired options and (b) weekly expired options.

Figure 8. The cumulated profits of QQQ options when k = 1: (a) monthly expired options and (b) weekly expired options.

Figure 9. The cumulated profits of QQQ options when k = 1.02: (a) monthly expired options and (b) weekly expired options.

Figure 10. The daily price of DIA from 20th January 1998 through 2nd July 2015.

Figure 11. The cumulated profits of DIA options when k = 0.98: (a) monthly expired options and (b) weekly expired options.

Figure 12. The cumulated profits of DIA options when k = 1: (a) monthly expired options and (b) weekly expired options.

Figure 13. The cumulated profits of DIA options when k = 1.02: (a) monthly expired options and (b) weekly expired options.

Figure 14. Cumulated gain against Black–Scholes price: (a) when k = 0 and (b) when k = 0.9.

Figure 15. The autocorrelation function.

Figure 16. Cumulated gain against Black–Scholes price.

Figure 17. Cumulated gain against Black–Scholes price with stochastic volatility.