Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Mar 2

Statistical Arbitrage in the U.S. Equities Market

Posted by abiao at 11:17 | Paper Review | Comments(2) | Reads(19373)
A good paper @ http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1153505.

The main contribution of the paper is the back-testing and comparison of market-neutral PCA- and ETF- based strategies over the broad universe of U.S. equities. Back-testing shows that, after accounting for transaction costs, PCA-based strategies have an average annual Sharpe ratio of 1.44 over the period 1997 to 2007, with a much stronger performances prior to 2003: during 2003-2007, the average Sharpe ratio of PCA-based strategies was only 0.9. On the other hand, strategies based on ETFs achieved a Sharpe ratio of 1.1 from 1997 to 2007, but experience a similar degradation of performance after 2002. We introduce a method to take into account daily trading volume information in the signals (using "trading time'' as opposed to calendar time), and observe significant improvements in performance in the case of ETF-based signals. ETF strategies which use volume information achieve a Sharpe ratio of 1.51 from 2003 to 2007.



pay to write my dissertation Email Homepage
Wow! I’m browsing away perusing your web journal from my lap! Simply needed to say I adore perusing your website and anticipate every one of your posts! Carry on the eminent work.Feel free to browse for getting more information about writing work
francisthomas Email
This web log is totally rocking... Yes, the post is really exciting and that I like it. I never saw posts like this. I meant it is so familiar, helpful, and wise wanting web site. I welcome your hard work. It took a short while on the other hand I worked out the way to know. I have had loads of harvest home once looking at this text from you! I feel it exciting; your post gave me a stand-in side! I have read many other posts about the same topic, but your post has convinced me the main spot I had went yet, nonstop running the check through the credit union I was a being from. In any case, the great mass does not know what day advances are or within the event that they are the right fund selection for his or her needs. This is an added wise web site page that has incontestable me amazing resources that fuses learning actions and resources to the main category of topic. So I propose you now skill these amazing profit forget the droop of one thing that is superbly helpful for all out there. Read on to find out about online payday credits and how to decide whether they're right for you. You can go through essay writing reviews. It will assist you to grasp about the services, and it'll assist you to grasp whether or not that web site is reliable or not. This is the way of kind the view of users, and it helps the website to maintain its functionality and reliability. Different students have different needs. If somebody desires essay writing service, another might require case study help. But each project service contains a exact space of subject. The reviews on this web site help students to pick out the service as per their demand. I am working as essay writer in USA and provide cheap essay services to school students.cheap essay services
Pages: 1/1 First page 1 Final page
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]