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Statistical arbitrage in the U.S. treasury futures market

Wale Dare ()

No 1716, Economics Working Paper Series from University of St. Gallen, School of Economics and Political Science

Abstract: We argue empirically that the U.S. treasury futures market is informational inefficient. We show that an intraday strategy based on the assumption of cointegrated treasury futures prices earns statistically significant excess return over the equally weighted portfolio of treasury futures. We also provide empirical backing for the claim that the same strategy, financed by taking a short position in the 2-Year treasury futures contract, gives rise to a statistical arbitrage.

Keywords: Market efficiency; U.S. treasury futures; statistical arbitrage; joint-hypothesis (search for similar items in EconPapers)
JEL-codes: C12 G13 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2017-09
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