Arbitrage Detection: Simulation-Based Approach
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  • Anglický jazyk

Arbitrage Detection: Simulation-Based Approach

Autor: Reza Habibi

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... Viac o knihe

Na objednávku, dodanie 2-4 týždne

53.68 €

bežná cena: 56.50 €

O knihe

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.

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