The statistics of statistical arbitrage

Financial Analysts Journal

Volumn 63, Issue 5, 2007, Pages 46-52

  Fernholz, Robert ^a   Maguire Jr , Cary ^a  

^a INTECH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 35349014761     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v63.n5.4839     Document Type: Article

References (8)

1. Fernholz, R. 2002. Stochastic Portfolio Theory. New York: Springer-Verlag.
2. Fouque, J.-P., G. Papanicolaou, and K.R. Sircar. 2000. Derivatives in Financial Markets with Stochastic Volatility. Cambridge, U.K.: Cambridge University Press.
3. Hasbrouck, J., and G. Sofianos. 1993. "The Trades of Market Makers: An Empirical Analysis of NYSE Specialists." Journal of Finance, vol. 48, no. 5 (December):1565-1593.
4. Kalman, R.E., and R.S. Bucy. 1961. "New Results in Linear Filtering and Prediction Theory." Transactions of the ASME-Journal of Basic Engineering, vol. 83, no. 1 (March):95-107.
5. Karatzas, I., and S.E. Shreve. 1991. Brownian Motion and Stochastic Calculus. New York: Springer-Verlag.
6. Madhavan, A., and S. Smidt. 1993. "An Analysis of Changes in Specialist Inventories and Quotations." Journal of Finance, vol. 48, no. 5 (December):1595-1628.
7. Markowitz, H. 1952. "Portfolio Selection." Journal of Finance, vol. 7, no. 1 (March):77-91.
8. Plexus Group. 2006. "Plexus Group Alpha Capture Analysis." Technical report, Santa Monica, CA.