Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies
碩士 === 國立高雄大學 === 統計學研究所 === 102 === This study proposes an efficient estimate for the expected returns of co-integration based statistical arbitrage trading strategies. If the returns of the trading strategy are independent and identically distributed, a recursive closed-form representation of its...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36861651156724088422 |