Statistical arbitrage : factor investing approach
Erdinc Akyildirim, Ahmet Goncu, Alper Hekimoglu, Duc Khuong Nguyen, Ahmet Sensoy
| Year of publication: |
2023
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|---|---|
| Authors: | Akyildirim, Erdinc ; Goncu, Ahmet ; Hekimoglu, Alper ; Nguyen, Duc Khuong ; Sensoy, Ahmet |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 1436-6304, ZDB-ID 1467029-X. - Vol. 45.2023, 4, p. 1295-1331
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| Subject: | Factor models | Geometric Brownian motion | Monte Carlo simulation | Statistical arbitrage | Trading strategies | Arbitrage | Theorie | Theory | Monte-Carlo-Simulation | Arbitrage Pricing | Arbitrage pricing | Stochastischer Prozess | Stochastic process | Faktorenanalyse | Factor analysis | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00291-023-00733-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014519079