统计套利 Statistical arbitrage
统计套利 Statistical arbitrage 不是绝对意义上的套利,
而是统计意义上的套利,即该策略期望上可套利,但不
一定能套利。
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In the world of finance and investments statistical arbitrage is used in two related but distinct ways:
In academic literature, statistical arbitrage is opposed to (deterministic) arbitrage. In deterministic arbitrage a sure profit can be obtained from being long some securities and short others. In statistical arbitrage there is a statistical mispricing of one or more assets based on the expected value of these assets. (For a simple example, consider a game in which one flips a coin and collects $1 on heads or pays $0.50 on tails. In any single flip it is uncertain if one will win or lose money. However, in the statistical sense, there is an expected value of $1×50% ? $0.50×50% = $0.25 for each flip. According to the law of large numbers, the mean return on actual flips will approach this expected value as the number of flips increases. This is precisely the way in which a gambling casino makes a profit.) In other words, statistical arbitrage conjectures statistical mispricings or price relationships that are true in expectation, in the long run when repeating a trading strategy.
Among those who follow the hedge fund industry statistical arbitrage refers to a particular category of hedge funds (other categories include global macro, convertible arbitrage, and so on). In this narrower sense Statistical arbitrage is often abbreviated as StatArb. According to Prof. Andrew Lo, StatArb "refers to highly technical short-term mean-reversion strategies involving large numbers of securities (hundreds to thousands, depending on the amount of risk capital), very short holding periods (measured in days to seconds), and substantial computational, trading, and IT infrastructure".
Contents
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1 StatArb, the trading strategy
2 Other forms of statistical arbitrage
3 Risks
4 Events of Summer 2007
5 See also
6 References
金融工程, 数学算法