Browsing by Keywords "Statistical arbitrage"

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    • Statistical arbitrage in jump-diffusion models with compound poisson processes 

      Akyildirim, E.; Fabozzi, J.F.; Goncu, A.; Sensoy, Ahmet (Springer Nature, 2021-02-26)
      We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the ...