Title: A Market Neutral Statistical Arbitrage Trading Model
Abstract: The momentum effect is a systematic inefficiency in the market that can be exploited by a trading strategy. This conclusion is supported by theoretical and empirical evidence. But the academic research that tries to quantify the performance of this kind of strategy often relies on a methodology that is too simplistic. The question arises what performance a trader realistically could achieve in relation to the results presented in academic journals. To answer this, we have written a computer program to run simulations with the added realism of transaction costs and more advanced trading rules based on a wider array of data than classic methodology allows. This has been done on Swedish stocks between 1995 and 2001. We then compare the simulation based on our own advanced model with a simulation that emulates a simplistic methodology.
Publication Year: 2003
Publication Date: 2003-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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