Statistical arbitrage in the US equities market
Work
Year: 2010
Type: article
Abstract: We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or regressing stock returns on sector Exchange Traded F... more
Source: Quantitative Finance
Authors Marco Avellaneda, Jeong-Hyun Lee
Institution Courant Institute of Mathematical Sciences
Cites: 15
Cited by: 313
Related to: 10
FWCI: 14.08
Citation percentile (by year/subfield): 98.46
Subfield: Economics and Econometrics
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: green