Arbitrage Detection: Simulation-Based Approach

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.

About the author

Reza Habibi has a PhD in Statistics from Shiraz University. He has worked in many fields such as change point analysis, computational statistics, data mining, financial time series and mathematical finance. He worked in Department of Statistics of Central Bank of Iran 8 years. Currently, he works in Iran Banking Institute as a researcher.

Product details

• Authors: Reza Habibi
• Publisher: LAP Lambert Academic Publishing
• Languages: English, German
• Product format: Paperback / Softback
• Released: 01.01.2016
• EAN: 9783659891816
• ISBN: 978-3-659-89181-6
• No. of pages: 92
• Subject: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics