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Full-Text Articles in Statistics and Probability
Factor Based Statistical Arbitrage In The U.S. Equity Market With A Model Breakdown Detection Process, Seoungbyung Park
Factor Based Statistical Arbitrage In The U.S. Equity Market With A Model Breakdown Detection Process, Seoungbyung Park
Master's Theses (2009 -)
Many researchers have studied different strategies of statistical arbitrage to provide a steady stream of returns that are unrelated to the market condition. Among different strategies, factor-based mean reverting strategies have been popular and covered by many. This thesis aims to add value by evaluating the generalized pairs trading strategy and suggest enhancements to improve out-of-sample performance. The enhanced strategy generated the daily Sharpe ratio of 6.07% in the out-of-sample period from January 2013 through October 2016 with the correlation of -.03 versus S&P 500. During the same period, S&P 500 generated the Sharpe ratio of 6.03%. This thesis is …
Market Risk Management For Financial Institutions Based On Garch Family Models, Qiandi Chen
Market Risk Management For Financial Institutions Based On Garch Family Models, Qiandi Chen
Arts & Sciences Electronic Theses and Dissertations
The financial stock market turned out to rise and fall suddenly and sharply in recent years, which means that volatility and uncertainty is very significant in market and measuring the market risk accurately is of great importance. I collect the historical close price of S&P 500 Financials Sector Index from January 19th 2011 to January 31st 2017, and use the daily logarithm yield as time series data to build 2 ARMA models and 5 GARCH family models using t-distribution. Then I calculate future 10 days’ relative VAR in 1-day horizon under 99\% confidence level based on the selected model. E-GARCH …
Modeling In Finance And Insurance With Levy-It'o Driven Dynamic Processes Under Semi Markov-Type Switching Regimes And Time Domains, Patrick Armand Assonken Tonfack
Modeling In Finance And Insurance With Levy-It'o Driven Dynamic Processes Under Semi Markov-Type Switching Regimes And Time Domains, Patrick Armand Assonken Tonfack
USF Tampa Graduate Theses and Dissertations
Mathematical and statistical modeling have been at the forefront of many significant advances in many disciplines in both the academic and industry sectors. From behavioral sciences to hard core quantum mechanics in physics, mathematical modeling has made a compelling argument for its usefulness and its necessity in advancing the current state of knowledge in the 21rst century. In Finance and Insurance in particular, stochastic modeling has proven to be an effective approach in accomplishing a vast array of tasks: risk management, leveraging of investments, prediction, hedging, pricing, insurance, and so on. However, the magnitude of the damage incurred in recent …