Arbitrage Detection: Simulation-Based Approach - Reza Habibi
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This book considers the simulation-based approaches to arbitrage detection. A random weight approach is introduced for construction of pairs trading strategies. First, condition for market neutrality of portfolio is considered then, the probability of attaining the profit is maximized. The portfolio contains long position in random units of first asset and random units of another asset in short position. St ... Full description
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Description
This book considers the simulation-based approaches to arbitrage detection. A random weight approach is introduced for construction of pairs trading strategies. First, condition for market neutrality of portfolio is considered then, the probability of attaining the profit is maximized. The portfolio contains long position in random units of first asset and random units of another asset in short position. Strategies are given and their performances are evaluated throughout some examples.
More Information
| Author | Reza Habibi |
|---|---|
| Publisher | LAP LAMBERT Academic Publishing |
| Release year | 2016 |
| Cover type | Softcover |
| EAN | 9783659891816 |