Statistical arbitrage in jump-diffusion models with compound poisson processes

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buir.contributor.authorSensoy, Ahmet
buir.contributor.orcidSensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage1371en_US
dc.citation.issueNumber2en_US
dc.citation.spage1357en_US
dc.citation.volumeNumber313en_US
dc.contributor.authorAkyildirim, E.
dc.contributor.authorFabozzi, J.F.
dc.contributor.authorGoncu, A.
dc.contributor.authorSensoy, Ahmet
dc.date.accessioned2023-02-17T13:22:41Z
dc.date.available2023-02-17T13:22:41Z
dc.date.issued2021-02-26
dc.departmentDepartment of Managementen_US
dc.description.abstractWe 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 risky asset holding must go to zero in time. Existence of statistical arbitrage is demonstrated via ‘buy-and-hold until barrier’ and ‘short until barrier’ strategies with both single and double barrier. In order to exploit statistical arbitrage opportunities, the investor needs to have a good approximation of the physical probability measure and the drift of the stochastic process for a given asset.en_US
dc.description.provenanceSubmitted by Aleyna Demirkıran (demirkiranaleyna99@gmail.com) on 2023-02-17T13:22:41Z No. of bitstreams: 1 Statistical_arbitrage_in_jump-diffusion_models_with_compound_poisson_processes.pdf: 476313 bytes, checksum: 8fe8651a6cef1bb391336f3bf3f0dcb9 (MD5)en
dc.description.provenanceMade available in DSpace on 2023-02-17T13:22:41Z (GMT). No. of bitstreams: 1 Statistical_arbitrage_in_jump-diffusion_models_with_compound_poisson_processes.pdf: 476313 bytes, checksum: 8fe8651a6cef1bb391336f3bf3f0dcb9 (MD5) Previous issue date: 2021-02-26en
dc.identifier.doi10.1007/s10479-021-03965-wen_US
dc.identifier.issn02545330
dc.identifier.urihttp://hdl.handle.net/11693/111534
dc.language.isoEnglishen_US
dc.publisherSpringer Natureen_US
dc.relation.isversionofhttps://dx.doi.org/10.1007/s10479-021-03965-wen_US
dc.source.titleAnnals of Operations Researchen_US
dc.subjectCompound Poisson processen_US
dc.subjectJump-diffusion modelen_US
dc.subjectMonte Carlo simulationen_US
dc.subjectStatistical arbitrageen_US
dc.titleStatistical arbitrage in jump-diffusion models with compound poisson processesen_US
dc.typeArticleen_US

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