Arbitrage Detection: Simulation-Based Approach

ISBN-13: 9783659891816 / Angielski / Miękka / 2016 / 92 str.

Reza Habibi

Opis

This book considers the simulation-based approaches to arbitrage detection. A random weight approach is introduced for construction of pairs trading strategies. First, condition for market neutrality of portfolio is considered then, the probability of attaining the profit is maximized. The portfolio contains long position in random units of first asset and random units of another asset in short position. Strategies are given and their performances are evaluated throughout some examples.

O autorze

Reza Habibi (corresponding author) has a PhD in Statistics from Shiraz University. Recently, (after PhD program) he has been graduated in Financial Engineering from Amirkabir University. He was a free researcher in Department of Statistics of Central Bank of Iran (CBI). He is currently a lecturer in Iran Banking Institute of CBI.