This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53] to multi-period markets. This extension is...

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...

Machine learning research has gained momentum-also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013); Moritz and Zimmermann (2014); Krauss et al....

The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero....

This paper identifies three common risk factors in the returns on cryptocurrencies, which are related to cryptocurrency market return, market cap (size) and momentum of cryptocurrencies. Using the empirical data of cryptocurrencies, we find strong evidence that there are anomalous returns that...

We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in "https://ssrn.com/abstract=3245641" https://ssrn.com/abstract=3245641. Using empirical data, we identify...

Incorporating a progressive or convex income tax into valuation problems raises the question of the appropriate tax rate to use in common valuation formulas. We apply arbitrage theory in a riskless, as well as risky, (multi-period) economy to answer this question. It turns out that the...