Making money with statistical arbitrage : generating alpha in sideway markets with this option strategy / Jan Becker.

Format:

Book

Author/Creator:

Becker, Jan.

Language:

English

Subjects (All):

Hedge funds.

Securities industry.

Physical Description:

1 online resource (52 p.)

Place of Publication:

Hamburg : Anchor Academic Pub., 2013.

Language Note:

English

Summary:

In the following study, I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Statistical arbitrage in particular is explained in further detail, and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is often used in daily option trading, derivate pricing and risk management. As investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provides significant returns to the investment. While the market efficiency hypothesis states the impossibility of long-term arbitrage opportunities, market anomalies outstand significantly. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-of-sample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage.

Contents:

""Making Money with statistical Arbitrage""; ""Part I""; ""1.1 Abstract""; ""1.2 Structure""; ""1.3 Table of Contents""; ""1.4 List of Abbreviations""; ""1.5 List of Figures and Tables""; ""PART II""; ""2.1 Overview of the Hedge Fund Industry""; ""PART III""; ""3.1 Hedge Fund Strategies Overview""; ""3.1.1 Long/Short Equity � make money on alpha""; ""3.1.2 Relative Value � Make Money on Spreads""; ""3.1.3 Event Driven � make money on events""; ""3.1.4 Global Macro � make money on trends""; ""3.2 Statistical Arbitrage in Detail""; ""3.3 Performance Analysis""; ""PART IV""

""4.1 State of the Art in Research""""4.2 Principles of Garch""; ""4.3 Introduction of a Semi -Variance Model""; ""4.3.1 Methodology""; ""4.3.2 Description of Market Data""; ""4.3.3 Prediction Power""; ""4.3.4 Risk Measurement""; ""4.4 Backtest with Real Options""; ""4.4.1 Out-of-Sample Market Data""; ""4.4.2 Performance Comparison""; ""Part V""; ""5.1 Conclusion""; ""5.2 Further Research""; ""Part VI""; ""6.1 List of Literature""; ""6.2 Appendix""

Notes:

Original title of the thesis: Hedge funds strategies-- time series based semi-variance prediction model for statistical arbitrage.

Cover title.

Includes bibliographical references.

ISBN:

3-95489-513-7

OCLC:

923691362