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Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics ( IF 2.3 ) Pub Date : 2021-01-18 , DOI: 10.3390/math9020179
Karen Balladares , José Pedro Ramos-Requena , Juan Evangelista Trinidad-Segovia , Miguel Angel Sánchez-Granero

In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency. We will show that our strategy is more profitable in emerging ones and in periods with greater uncertainty. Our method consists of a Pairs Trading strategy based on the concept of mean reversion by selecting pair series that have the lower Hurst exponent. We also show that the pair selection with the lowest Hurst exponent has sense, and the lower the Hurst exponent of the pair series, the better the profitability that is obtained. The sample is composed by the 50 largest capitalized companies of 39 countries, and the performance of the strategy is analyzed during the period from 1 January 2000 to 10 April 2020. For a deeper analysis, this period is divided into three different subperiods and different portfolios are also considered.

中文翻译:

新兴市场的统计套利:全球效率测试

在本文中,我们在不同的发达国家和新兴国家中使用了统计套利方法,以表明该策略的获利能力取决于市场效率的程度。我们将证明,在新兴战略和不确定性更大的时期,我们的战略更具获利能力。我们的方法包括基于均值回归概念的配对交易策略,方法是选择具有较低Hurst指数的配对系列。我们还表明,具有最低Hurst指数的货币对选择是有意义的,并且货币对系列的Hurst指数越低,获得的获利能力就越好。该示例由39个国家/地区的50家最大资本公司组成,并从2000年1月1日至2020年4月10日分析了该策略的效果。要进行更深入的分析,
更新日期:2021-01-18
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