Code: 13411752

Arbitrage Detection: Simulation-Based Approach

Name: Arbitrage Detection: Simulation-Based Approach
Brand: LAP Lambert Academic Publishing
SKU: 13411752
Price: 48.89 EUR
Availability: InStock
Author: Reza Habibi
ISBN: 9783659891816

by Reza Habibi

Language: English
Binding: Paperback
Number of pages: 92
Publisher: LAP Lambert Academic Publishing, 2016
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Book synopsis

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.