Statistical arbitrage in the US equities market

Quantitative Finance

Volumn 10, Issue 7, 2010, Pages 761-782

  Avellaneda, Marco ^a,b   Lee, Jeong Hyun ^a  

^a NEW YORK UNIVERSITY   (United States)

^b Finance Concepts   (France)

Author keywords

Alternative investments; Cointegration; Correlation modelling; Quantitative trading strategies

Indexed keywords

EID: 77955605222     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680903124632     Document Type: Article

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