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Arbitrage Detection: Simulation-Based Approach

Language EnglishEnglish
Book Paperback
Book Arbitrage Detection: Simulation-Based Approach Reza Habibi
Libristo code: 13411752
Publishers LAP Lambert Academic Publishing, June 2016
This book considers the simulation-based approaches to arbitrage detection. A random weight approach... Full description
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This book considers the simulation-based approaches to arbitrage detection. A random weight approach is introduced for construction of pairs trading strategies. First, condition for market neutrality of portfolio is considered then, the probability of attaining the profit is maximized. The portfolio contains long position in random units of first asset and random units of another asset in short position. Strategies are given and their performances are evaluated throughout some examples.

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About the book

Full name Arbitrage Detection: Simulation-Based Approach
Author Reza Habibi
Language English
Binding Book - Paperback
Date of issue 2016
Number of pages 92
EAN 9783659891816
ISBN 3659891819
Libristo code 13411752
Publishers LAP Lambert Academic Publishing
Weight 153
Dimensions 150 x 220 x 6

Categories

Mathematics & Science > Mathematics > Probability & statistics
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