Optimal Execution of Statistical Arbitrage Strategies with Stochastic Trading Volume

2013 ◽  
Author(s):  
James Eustace ◽  
Peter F. Pope ◽  
Stephen E. Satchell
Keyword(s):  
Trading Volume ◽  
Statistical Arbitrage ◽  
Optimal Execution

scholarly journals Mini-Flash Crashes, Model Risk, and Optimal Execution

2018 ◽  
Vol 04 (01n02) ◽  
pp. 1850010 ◽  
Author(s):  
Erhan Bayraktar ◽  
Alexander Munk
Keyword(s):  
Mathematical Model ◽  
Trading Volume ◽  
Feedback Loops ◽  
Model Risk ◽  
Human Errors ◽  
Partial Synchronization ◽  
Market Participants ◽  
Liquidity Provision ◽  
Optimal Execution ◽  
Equilibrium Approach

Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops and the nature of modern liquidity provision. We develop a mathematical model which captures aspects of these explanations. Empirical features of recent mini-flash crashes are present in our framework. For example, there are periods when no such events will occur. If they do, even just before their onset, market participants may not know with certainty that a disruption will unfold. Our mini-flash crashes can materialize in both low and high trading volume environments and may be accompanied by a partial synchronization in order submission. Instead of adopting a classically-inspired equilibrium approach, we borrow ideas from the optimal execution literature. Each of our agents begins with beliefs about how his own trades impact prices and how prices would move in his absence. They, along with other market participants, then submit orders which are executed at a common venue. Naturally, this leads us to explicitly distinguish between how prices actually evolve and our agents’ opinions. In particular, every agent’s beliefs will be expressly incorrect.

The Statistics of Statistical Arbitrage

CFA Digest ◽  
2008 ◽  
Vol 38 (1) ◽  
pp. 83-84
Author(s):  
Robert Fernholz ◽  
Cary Maguire
Keyword(s):  
Statistical Arbitrage

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split

2016 ◽  
Vol 8 (2) ◽  
pp. 24-45
Author(s):  
Tania Hayu Safira ◽  
Febryanti Simon
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Distributed Data ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Before And After ◽  
Test Of Hypothesis ◽  
Kolmogorov Smirnov

This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split. Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.

Mean Reversion of the Trading Volume

2019 ◽  
Vol 32 (2) ◽  
pp. 149-186
Author(s):  
Mhin Kang ◽  
◽  
Joon Chae
Keyword(s):  
Trading Volume ◽  
Mean Reversion

Performance of statistical arbitrage in petroleum futures markets

2008 ◽  
Vol 1 (2) ◽  
pp. 3-33 ◽  
Author(s):  
Amir H. Alizadeh ◽  
Nikos K. Nomikos
Keyword(s):  
Futures Markets ◽  
Statistical Arbitrage ◽  
Petroleum Futures

Trading Volume Liquidity and Investment Styles

2007 ◽  
Author(s):  
Jeff Brown ◽  
Douglas K. Crocker ◽  
Stephen R. Foerster
Keyword(s):  
Trading Volume ◽  
Investment Styles
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