Statistical arbitrage under the efficient market hypothesis

Si Bao, Shi Chen, Xi Wang, Wei An Zheng and Yu Zhou

Statistical Theory and Related Fields, 2020, vol. 4, issue 1, 84-96

Abstract: When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major ETFs (Exchange Traded Funds) in the U.S. market.

Date: 2020
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DOI: 10.1080/24754269.2019.1670525

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