Making Money with statistical Arbitrage: Generating Alpha in sideway Markets with this Option Strategy - Brossura

Becker, Jan

Brossura

ISBN 10: 3954890135 ISBN 13: 9783954890132

Casa editrice: Anchor Academic Publishing, 2012

Riassunto

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.

Su questo libro

L'autore

Jan Becker, B. Sc. was born in Germany in 1986. After graduating from the Goethe University in Frankfurt, he enrolled at the Frankfurt School of Finance & Management in 2011. On the side of his Master of Finance program, he is working on tactical asset allocation strategies for a renowned German asset management firm and advises on capital market investments.

Dettagli dell'edizione

• Editore: Anchor Academic Publishing
• Data di pubblicazione: 2012
• Lingua: Inglese
• ISBN 10: 3954890135
• ISBN 13: 9783954890132
• Rilegatura: Copertina flessibile
• Numero edizione: 1
• Numero di pagine: 56
• Contatto del produttore: Bedey & Thoms Media GmbH; info@diplom.de; ; Hermannstal 119 k; Hamburg; 22119; Germania