Mathematics in Education, Research and Applications (MERAA), 2017(3), 2
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Published online 2018-01-10
DOI:https://doi.org/10.15414/meraa.2017.03.02.85-94
Statistical arbitrage regarding trade in goods of agricultural origin
Vladimír Matušek, Maciej Sporysz, Krzysztof Molenda
Article Fulltext (PDF), pp. 85–94
- In our work we concentrate on the use of statistical arbitrage, mainly the trade in goods of agricultural origin model, which considers high frequency trading mechanisms of goods
of agricultural origin. The strategy usefulness was measured by the information ratio. We considered both, options in the horizon and the time interval. The best
results were achieved with respect to the historical time horizon, where the benchmark proportion of securities and one-minute time interval were appointed.
Although we have to admit the investment issue constitutes a very complex problem influenced by a large number of factors. So there is not any universal mode of
conduct guaranteeing profits that may be unequivocally indicated. We can only define a scenario, which will be effective with a substantial degree of probability.
- Keywords: statistical arbitrage, frequency trading, Kalman filter, simulation, investment strategy
- JEL Classification: Q02, Q13, Q17