Sun, 27 Jul 2008 10:19:01 BST CiteULike: pdlug arbitrage http://www.citeulike.org/user/pdlug/tag/arbitrage CiteULike.org en-gb Copyright © 2004-2008 citeulike.org http://www.citeulike.org/user/pdlug/article/2751744 <i>Social Science Research Network Working Paper Series</i><br /><br />This paper proposes an intelligent combination of neural network theory and financial statistics for the detection of statistical arbitrage opportunities in specific pairs of stocks. The proposed intelligent methodology is based on a class of neural network-GARCH autoregressive models for the effective handling of the dynamics related to the statistical mispricing between relative stock prices. The performance of the proposed intelligent trading system is properly measured with the aid of profit & loss diagrams, for a number of different experimental settings (i.e. sampling frequencies). First results seem encouraging; nevertheless, further experimentation on the optimal sampling frequency, the forecasting horizon and the points of entry and exit is necessary, in order to achieve highest economic value when transaction costs are taken into account. An Intelligent Statistical Arbitrage Trading System NICK Kondakis Nikos Thomaidis Social Science Research Network Working Paper Series 2008-05-04T00:03:09-00:00 Social Science Research Network Working Paper Series arbitrage garch neuralnet neuralnetwork statarb statistics trading http://www.citeulike.org/user/pdlug/article/1176950 <i>The Journal of Finance, Vol. 47, No. 2. (1992), pp. 427-465.</i><br /><br />Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only explanatory variable. The Cross-Section of Expected Stock Returns Eugene Fama Kenneth French The Journal of Finance, Vol. 47, No. 2. (1992), pp. 427-465. 2007-03-20T04:50:59-00:00 1992 The Journal of Finance 47 2 427 465 arbitrage asset economics equity model pricing stock