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Statistical Arbitrage Strategies Based On Mean Reversion Model And Its Optimization

Posted on:2014-03-16Degree:MasterType:Thesis
Country:ChinaCandidate:Q R ChenFull Text:PDF
GTID:2309330434972878Subject:Financial
Abstract/Summary:PDF Full Text Request
Abstract:Quantitative investment is a very popular investment strategy. It can also be understood as statistical-arbitrage, that is, through the historical data summed up a trading strategy. Prices’ mean reversion phenomenon is a very common phenomenon. Mean reversion model and random walk model have been used to explain the trend of stock prices. In the mean reversion model, the stock price is no longer unpredictable, but follows a certain pattern. Mastered this law, we may be able to establish some realistic trading strategy to obtain excess returns. We will apply mean reversion model theory to statistical arbitrage trading strategies and analysis the advantages and disadvantages of this strategy and for its optimization.
Keywords/Search Tags:mean-reversion, quantitative investment, statistical arbitrage, risk control, strategy optimization
PDF Full Text Request
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