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Statistik, Ökonometrie, Optimierung : Methoden und ihre praktischen Anwendungen in Finanzanalyse und Portfoliomanagement

Poddig, Thorsten; Dichtl, Hubert; Petersmeier, Kerstin - 2008 - 4., vollst. überarb. Aufl.

Persistent link: https://www.econbiz.de/10003597953

Portfolio-Optimierung und Beta-Bestimmung unter Verwendung impliziter Informationen

Saßning, Sven - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009691279

Election predictions are arbitrage-free : response to Taleb : letter to the editors

Clayton, Aubrey - In: Quantitative finance 19 (2019) 11, pp. 1771-1774

Persistent link: https://www.econbiz.de/10012194825

Momentum and Reversion in Risk Neutral Martingale Probabilities

Madan, Dilip B. - 2014

A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics …

Persistent link: https://www.econbiz.de/10013064149

Volatility and systematic risks in financial markets

Würsig, Christoph Matthias - 2022

Persistent link: https://www.econbiz.de/10013256100

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

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...

Persistent link: https://www.econbiz.de/10012022240