Inference and Arbitrage : The Impact of Statistical Arbitrage on Stock Prices [PDF, 307k](1167 hits) - Tobias Adrian. This paper models the impact of statistical arbitrageurs on stock prices and
trading volume when the drift of the dividend process is unknown to the hedge
fund. The learning process of statistical arbitrageurs leads to an optimal trading
strategy that can be upwardsloping in prices.
URL: http://pricing.free.fr/docs/sys/interfarbitrage.pdf - Wednesday, July 31st 2002
Lead-Lag Effects When Prices Reveal Cross-Security Information [PDF, 610k](536 hits) - This paper introduces and analyses a model of cross-security informa-
tion aggregation in a rational expectations equilibrium (ree). The model
predicts a well-dened lead-lag structure between securities returns as a
result of Bayesian information extraction from realised securities prices.
Both leads and lags will be strongest between securities with highly cor-
related return processes, but only weakly correlated return innovations.
URL: http://pricing.free.fr/docs/sys/leadlag.pdf - Wednesday, July 31st 2002
Trading In Convergent Markets [PDF, 104k](631 hits) - The purpose of this paper is to find an optimal trading strategy for trading in stocks of two
companies (or currencies of two countries) which will merge in the future (or join monetary union
in the case of currencies).
URL: http://pricing.free.fr/docs/sys/tradconvertmkts.pdf - Wednesday, July 31st 2002
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