NBER WORKING PAPER SERIES
A TEST OF EFFICIENCY FOR ThE
S&P 500 INDEX OPTION MARKET
USING VARIANCE FORECASTS
Jaesun Noh
Robert F. Engle
Alex Kane
Working Paper No. 4520
NATIONAL BUREAU OF ECONOMIC RESEARCH
1050 Massachusetts Avenue
Cambridge, MA 02138
Nove
THE JOURNAL OF FINANCE VOL. LXI, NO. 6 DECEMBER 2006
Can Mutual Fund Stars Really Pick Stocks?
New Evidence from a Bootstrap Analysis
ROBERT KOSOWSKI, ALLAN TIMMERMANN, RUSS WERMERS,
and HAL WHITE
ABSTRACT
We apply a new bootstrap statistical technique to
What Happened To The Quants
In August 2007?
Amir E. Khandani and Andrew W. Lo
First Draft: September 20, 2007
Latest Revision: September 20, 2007
Abstract
During the week of August 6, 2007, a number of high-prole and highly successful quantitative long/sh
Statistical Arbitrage and Market Eciency:
Enhanced Theory, Robust Tests and Further Applications
Robert Jarrow
Johnson Graduate School of Management,
Cornell University
Melvyn Teo
School of Business,
Singapore Management University
Yiu Kuen Tse
School of
Chapter 2
PAIRS TRADING
The idea behind pairs trading is basically the following. Suppose that two stock price series tend
to move (from day to day) together, that is, they follow similar patterns over moderate stretches of
time. Occasionally, there will
52
46-936: Statistical Arbitrage c Copyright 2009 John Lehoczky and Mark Schervish
Chapter 3
COINTEGRATION AND TRADING
3.1
Stationarity and Unit Root Tests
In the MSCF Financial Time Series Analysis course, students were introduced to some of the basic
mo
High Frequency Pairs Trading with U.S. Treasury
Securities: Risks and Rewards for Hedge Funds
Purnendu Nath*
London Business School
First Version: February 2002
This Version: November 2003
JEL classification: C52, C53, E47, G14
Keywords:
Arbitrage, Bonds,
Limit Order Markets: A Survey
Christine A. Parlour
University of California Berkeley
1
Duane J. Seppi
Carnegie Mellon University
Current Draft: April 9, 2007
1
Forthcoming 2008 in Handbook of Financial Intermediation & Banking, edited by A.W.A. Boot and
A
Pairs Trading: Performance
of a Relative-Value Arbitrage Rule
Evan Gatev
Boston College
William N. Goetzmann
Yale University
K. Geert Rouwenhorst
Yale University
We test a Wall Street investment strategy, pairs trading, with daily data over
19622002. Stoc
Q U A N T I T A T I V E F I N A N C E V O L U M E 1 (2001) 223236 INSTITUTE O F PHYSICS PUBLISHING
RE S E A R C H PA P E R
quant.iop.org
Empirical properties of asset returns: stylized facts and statistical issues
Rama Cont1
Centre de Math matiques Appliq
PAIRS TRADING
by
Robert J. Elliott
Haskayne School of Business
University of Calgary
Calgary, Alberta, Canada T2N 1N4
[email protected]
John van der Hoek
Department of Applied Mathematics
The University of Adelaide
Adelaide, South Australia 5005
jvande
The Truth Behind Momentum Investing
1 of 2
http:/www.financialadvisormagazine.com/component/content/article/1-fe.
Financial Advisor Magazine
ShareThis
| Print |
March 2004 issue
The Truth Behind Momentum Investing
An impressive amount of academic evidence
SOLUTION TO HW1
46-936
September 2009
1.(a) The code for trading single pairs using moving averages and the bailout criterion for this exercise is posted near the solutions. Table 1 lists
the top 20 pairs obtained by sorting correlations as described in t
HOMEWORK 2
46-936
Due 22 September 2009 at start of class
1. In this problem, you will implement cointegration-based pairs trading strategies. You will
also get to see how highly variable overall prots can be from one time period to the next.
Use the data
HOMEWORK 1
46-936
Due 8 September 2009 at start of class
The data les for this (and future) homework are on Blackboard along with assingments themselves
in the Assignments content area.
1. For this problem, use the data in the le sic283.03.05.csv Its cont
HOMEWORK 3
46-936
Due 6 October 2009
1. In this problem, you will implement some momentum-based strategies. You might want to
look at Chapter 4 posted on Blackboard. Use the data in the le valglam6307.csv that is on
Blackboard. It needs to be processed us
Volatility
Forecasting
and
for DTB
Delta-Neutral
Options
Volatility
Trading
on the DAX
H.J. Bartels
of Mathematics
and Computer
University of Mannheim
Seminargebaude
-45
D-68131 Mannheim.
Germany
Tel.: 49-621-1812450
Fax: 49-621-1812506
E-mail: [email protected]
Relative Implied Volatility Arbitrage with
Index Options
Another Look at Market Efficiency
Manuel Ammann and Silvan Herriger
May 2001 Discussion paper no. 2001-06
Department of Economics
University of St. Gallen
Editor:
Publisher:
Electronic Publication:
Bundesverband Alternative Investments e.V.
N
E
W
S
L
E
T
T
DEZEMBER 2004
AMENC, MALAISE,
MARTELLINI AND SFEIR
Portable Beta Strategies
for Hedge Fund Managers
HABIB
Volatility Arbitrage A New Hedge Fund Strategy
HILPOLD
Mortgage-Backed
Securities Arbitrag
LOSS PROTECTION IN PAIRS TRADING
THROUGH MINIMUM PROFIT BOUNDS:
A COINTEGRATION APPROACH
YAN-XIA LIN, MICHAEL McCRAE, AND CHANDRA GULATI
Received 4 September 2005; Revised 10 May 2006; Accepted 15 May 2006
Pairs trading is a comparative-value form of stat
THE JOURNAL OF FINANCE VOL. LIX, NO. 5 OCTOBER 2004
The 52-Week High and Momentum Investing
THOMAS J. GEORGE and CHUAN-YANG HWANG
ABSTRACT
When coupled with a stocks current price, a readily available piece of informationthe
52-week high priceexplains a l
SOLUTION TO HW2
46-936
September 2009
1.(a) Table 1 lists the top 20 pairs formed in Year 2003 with positive prots
for the 6 combinations of cuto and bailout values.
1.(b) For these 20 pairs selected in (a), trade them in the 12 month of Year
2004. See Ta
Chapter 5
VOLATILITY ARBITRAGE
5.1
Volatility
Volatility is a measure of how much a security tends to change with time. Typically, it is taken to be
the instantaneous standard deviation of the logarithm of returns per unit time. More specically,
for a pri
Universit degli Studi di Siena
DIPARTIMENTO DI ECONOMIA POLITICA
ROBERTO RENO
A Closer Look at the EPPS effect
n. 335 Dicembre 2001
h p u s m s m n s h m n s h
jW55o5oW
h v h i f h s i e s m n p f h n f i h f s h h i my m nu h i n h q i h e h mu i f
arXiv:0704.1099v2 [physics.soc-ph] 1 Apr 2008
The Epps eect revisited
Bence Tth1,2
o
Jnos Kertsz2,3
a
e
August 22, 2008
1
ISI Foundation - Viale S. Severo, 65 - I-10133 Torino, Italy
Department of Theoretical Physics, Budapest University of Technology
and
An Anatomy of Trading
Strategies
Jennifer Conrad
University of North Carolina
Gautam Kaul
University of Michigan
In this article we use a single unifying framework to analyze the sources of prots to a wide spectrum of returnbased trading strategies implem
Risk Adjustment and Trading Strategies
Dong-Hyun Ahn
University of North CarolinaChapel Hill
Jennifer Conrad
University of North CarolinaChapel Hill
Robert F. Dittmar
Indiana University
We assess the protability of momentum strategies using a stochastic d