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• W3133787454 abstract "We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to zero in time. Existence of statistical arbitrage is demonstrated via ‘buy-and-hold until barrier’ and ‘short until barrier’ strategies with both single and double barrier. In order to exploit statistical arbitrage opportunities, the investor needs to have a good approximation of the physical probability measure and the drift of the stochastic process for a given asset." @default.
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• W3133787454 date "2021-02-26" @default.
• W3133787454 modified "2023-09-30" @default.
• W3133787454 title "Statistical arbitrage in jump-diffusion models with compound Poisson processes" @default.
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• W3133787454 doi "https://doi.org/10.1007/s10479-021-03965-w" @default.
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