Advanced search
Publication Cover
Statistical Theory and Related Fields Volume 4, 2020 - Issue 1
Submit an article Journal homepage
903
Views
1
CrossRef citations to date
0
Altmetric
Articles

Statistical arbitrage under the efficient market hypothesis

Si BaoSchool of Statistics, East China Normal University, Shanghai, People's Republic of ChinaView further author information
,
Shi ChenSchool of Statistics, East China Normal University, Shanghai, People's Republic of ChinaView further author information
,
Xi WangSchool of Statistics, East China Normal University, Shanghai, People's Republic of ChinaView further author information
,
Wei An ZhengSchool of Statistics, East China Normal University, Shanghai, People's Republic of ChinaCorrespondence[email protected]
View further author information
&
Yu ZhouSchool of Statistics, East China Normal University, Shanghai, People's Republic of ChinaView further author information
Pages 84-96 | Received 18 Mar 2019, Accepted 18 Sep 2019, Published online: 03 Oct 2019

References

  • Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654. doi: 10.1086/260062
  • Hamilton, J. D. (1994). Time series analysis. Princeton, New Jersey: Princeton University Press.
  • Hogan, S., Jarrow, R., & Warachka, M. (2002). Statistical arbitrage and tests of market efficiency. Singapore: Singapore Management University Pre-Prints.
  • Karatzas, I., & Shreve, S. E. (1987). Brownian motion and stochastic calculus. Berlin: Springer-Verlag.
  • Loeve, M. (1977). Probability theory II. Berlin: Springer-Verlag.
  • Merton, R. C. (1973). Theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141–183. doi: 10.2307/3003143
  • Pole, A. (2007). Statistical arbitrage. Inc. Hoboken, New Jersey: John Wiley & Sons.
  • Wang, Z. D., & Zheng, W. A. (2014). High frequency trading and probability theory. Singapore: World Scientific.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.