Essays in statistical arbitrage
This three-paper thesis explores the important relationship between arbitrage and price efficiency. Chapter 3 investigates the risk-bearing capacity of arbitrageurs under varying degrees and types of risk. A novel stochastic process is introduced to the literature that is capable of jointly capturin...
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University of Southampton
2014
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.628693 |