Macroeconomic Drivers Behind Risk Arbitrage Strategy

2010 ◽  
Author(s):  
Stephane Dieudonne ◽  
Slimane Bouacha ◽  
Fabienne Cretin
Keyword(s):  
Risk Arbitrage ◽  
Arbitrage Strategy

A Risk Arbitrage Strategy for Lotteries

Wilmott ◽  
2019 ◽  
Vol 2019 (100) ◽  
pp. 52-63
Author(s):  
Steven D. Moffitt ◽  
William T. Ziemba
Keyword(s):  
Risk Arbitrage ◽  
Arbitrage Strategy

What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy

2016 ◽  
Vol 51 (3) ◽  
pp. 929-957 ◽  
Author(s):  
Charles Cao ◽  
Bradley A. Goldie ◽  
Bing Liang ◽  
Lubomir Petrasek
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Merger And Acquisition ◽  
Superior Performance ◽  
Fund Manager ◽  
Fund Managers ◽  
Portfolio Holdings ◽  
Risk Arbitrage ◽  
Arbitrage Strategy ◽  
Hedge Fund Manager

AbstractTo understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge fund managers’ superior performance is attributed to their ability to manage downside risk.

Analysis of Improved Bids in the Scope of a Risk Arbitrage Strategy

2011 ◽  
Author(s):  
Stephane Dieudonne ◽  
Fabienne Cretin ◽  
Slimane Bouacha
Keyword(s):  
Risk Arbitrage ◽  
Arbitrage Strategy

Applying the Teachings of Behavioural Finance to Risk Arbitrage Strategy

2012 ◽  
Author(s):  
Stephane Dieudonne ◽  
Fabienne Cretin ◽  
Slimane Bouacha
Keyword(s):  
Behavioural Finance ◽  
Risk Arbitrage ◽  
Arbitrage Strategy

scholarly journals Machine Learning in Futures Markets

2021 ◽  
Vol 14 (3) ◽  
pp. 119
Author(s):  
Fabian Waldow ◽  
Matthias Schnaubelt ◽  
Christopher Krauss ◽  
Thomas Günter Fischer
Keyword(s):  
Machine Learning ◽  
Futures Markets ◽  
Learning Models ◽  
Cross Sectional ◽  
Data Set ◽  
Statistical Arbitrage ◽  
Out Of Sample ◽  
Sample Testing ◽  
Arbitrage Strategy ◽  
Machine Learning Models

In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading framework and compile a data set comprised of 60 futures covering nearly 10 trading years. Next, we train several machine learning models to predict whether the h-day-ahead return of each future out- or underperforms the corresponding cross-sectional median return. Finally, we enter long/short positions for the top/flop-k futures for a duration of h days and assess the financial performance of the resulting portfolio in an out-of-sample testing period. Thereby, we find the machine learning models to yield statistically significant out-of-sample break-even transaction costs of 6.3 bp—a clear challenge to the semi-strong form of market efficiency. Finally, we discuss sources of profitability and the robustness of our findings.

scholarly journals High-frequency Statistical Arbitrage Strategy Based on Stationarized Order Flow Imbalance

2021 ◽  
Vol 187 ◽  
pp. 518-523
Author(s):  
Qingxue Wang ◽  
Bin Teng ◽  
Qi Hao ◽  
Yufeng Shi
Keyword(s):  
High Frequency ◽  
Order Flow ◽  
Statistical Arbitrage ◽  
Flow Imbalance ◽  
Arbitrage Strategy

Risk Arbitrage

2008 ◽  
pp. 235-235
Keyword(s):  
Risk Arbitrage

scholarly journals The exchange rate effect of multi-currency risk arbitrage

2014 ◽  
Vol 47 ◽  
pp. 304-331 ◽  
Author(s):  
Harald Hau
Keyword(s):  
Exchange Rate ◽  
Rate Effect ◽  
Currency Risk ◽  
Risk Arbitrage ◽  
The Exchange Rate

scholarly journals A bounded arbitrage strategy for a multiperiod model of a financial market in discrete time

2008 ◽  
Vol 77 ◽  
pp. 135-146
Author(s):  
Yu. S. Mishura ◽  
P. S. Shelyazhenko ◽  
G. M. Shevchenko
Keyword(s):  
Financial Market ◽  
Discrete Time ◽  
Arbitrage Strategy
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