In the following study, I am going to present a short survey of the
hedge fund industry, its regulation and the existent hedge fund
strategies. Statistical arbitrage in particular is explained in
further detail, and major performance measurement ratios are
presented. In the second part, I am going to introduce a
semi-variance model for statistical arbitrage. The model is
compared to the standard Garch model, which is often used in daily
option trading, derivate pricing and risk management. As investment
returns are not equally distributed over time, sources for
statistical arbitrage occur. The semi-variance model takes skewness
into account and provides higher returns at lower volatility than
the Garch model. The concept is aimed to be a synopsis of mean
reversion and chart pattern detection. The computer model is
generated with respect to Brownian motion and technical analysis
and provides significant returns to the investment. While the
market efficiency hypothesis states the impossibility of long-term
arbitrage opportunities, market anomalies outstand significantly.
Connecting both elements creates a profitable trading system. The
combination of both approaches delivers a sensible hedge fund
concept. The out-of-sample backtest verifies out-performance and
implies the need for further research in the area of higher moment
CAPM and additional market timing strategies as sources of
statistical arbitrage.
General
Imprint: |
Anchor Academic Publishing
|
Country of origin: |
United States |
Release date: |
May 2013 |
First published: |
May 2013 |
Authors: |
Jan Becker
|
Dimensions: |
210 x 148 x 3mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
56 |
ISBN-13: |
978-3-9548901-3-2 |
Categories: |
Books >
Business & Economics >
Business & management >
General
|
LSN: |
3-9548901-3-5 |
Barcode: |
9783954890132 |
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