人工知能学会第二種研究会資料
Online ISSN : 2436-5556
第24回金融情報学研究会
時系列モデルを用いたマルチアセット市場における統計的裁定戦略
今井 崇公中川 慧
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研究報告書・技術報告書 フリー

2020 年 2020 巻 FIN-024 号 p. 01-

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The statistical arbitrage strategy is one of the most traditional investment strategies. Many theoretical and empirical studies have been conducted for a long time. Almost all of the statistical arbitrage strategies focus on the price difference (spread) between two similar assets in same asset class and exploit the mean reversion of spreads, i.e., pairs trading. In this study, we extend the strategy to multiple assets in the multi-asset market. Concretely, we derive a mean-reverting portfolio with time series model. Finally, we perform an empirical analysis in multi-asset market and show the effectiveness of our strategy.

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