We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …

loading functions. This model captures common movements of stock excess returns and includes a two-layer network of arbitrage … dynamic network structure of arbitrage returns through groups of some characteristics …

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work … parametric tests, the statistical arbitrage method produces more clearly that momentum strategies work only in longer formation …

During times of market stress, arbitrage capital cannot be timely deployed, and assets trade away from fundamentals …

Statistical arbitrage identifies and exploits temporal price differences between similar assets. We propose a unifying … conceptual framework for statistical arbitrage and develop a novel deep learning solution, which finds commonality and time …-series patterns from large panels in a data-driven and flexible way. First, we construct arbitrage portfolios of similar assets as …

using option price data. Under no-arbitrage and acknowledging data constraints, we can partially identify asset price …