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Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - 2016

We develop a multivariate statistical arbitrage strategy based on vine copulas - a highly flexible instrument for linear and nonlinear multivariate dependence modeling. In an empirical application on the S&P 500, we find statistically and economically significant returns of 9.25 percent p.a. and...

Persistent link: https://www.econbiz.de/10011549742

On Fiscal Illusion and Ricardian Equivalence in Local Public Finance

Banzhaf, H. Spencer - 2012

We re-evaluate two forms of fiscal illusion in local public finance: debt illusion and renter illusion. The Ricardian … Equivalence Theorem for local governments suggests the form of finance of a public program (tax or debt finance) has no effects on … hundreds of open space referenda in the U.S. using a variety of finance mechanisms, we find evidence that households do prefer …

Persistent link: https://www.econbiz.de/10013106324

On Fiscal Illusion and Ricardian Equivalence in Local Public Finance

Banzhaf, H. Spencer - 2012

Persistent link: https://www.econbiz.de/10013107014

Statistical arbitrage with vine copulas

Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher - In: Quantitative finance 18 (2018) 11, pp. 1831-1849

Persistent link: https://www.econbiz.de/10012262849

Exploiting social media with higher-order Factorization Machines : statistical arbitrage on high-frequency data of the S&P 500

Knoll, Julian; Stübinger, Johannes; Grottke, Michael - 2017

Over the past 15 years,there have been a number of studies using text mining for predicting stock market data. Two recent publications employed support vector machines and second-order Factorization Machines, respectively, to this end. However, these approaches either completely neglect...

Persistent link: https://www.econbiz.de/10011656152

Statistical arbitrage pairs trading with high-frequency data

Stübinger, Johannes; Bredthauer, Jens - In: International journal of economics and financial issues … 7 (2017) 4, pp. 650-662

Persistent link: https://www.econbiz.de/10011833680

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Endres, Sylvia; Stübinger, Johannes - 2018

This paper develops the regime classification algorithm and applies it within a fully-edged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines the number of regimes for any...

Persistent link: https://www.econbiz.de/10011845691

Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500

Stübinger, Johannes - In: Quantitative finance 19 (2019) 6, pp. 921-935

Persistent link: https://www.econbiz.de/10012194730

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740

Persistent link: https://www.econbiz.de/10012194819

Pairs trading with a mean-reverting jump-diffusion model on high-frequency data

Stübinger, Johannes; Endres, Sylvia - 2017

This paper develops a pairs trading framework based on a mean-reverting jump-diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform intraday and overnight trading. Essentially,...

Persistent link: https://www.econbiz.de/10011640333