EconPapers    
Economics at your fingertips  
 

Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500

Johannes Stübinger

No 01/2018, FAU Discussion Papers in Economics from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics

Abstract: A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises. Yet partnerships were the dominant business organization for the period in which wealthy countries first experienced long-run economic growth, and they remain quantitatively significant in some important economies today. We use a series of simple models to study several aspects of the partnership's choice of capital structure. We show that common features of partnerships reflect the difficulty of raising capital for ventures whose prospects are hard to judge. We also consider the implications of a rule in partnership law that prevents limited partners from playing a role in management, and the implications of the partnership form for projects subject to hold-up.

Keywords: finance; optimal causal path; statistical arbitrage; lead-lag structure; high-frequency trading; cryptocurrency (search for similar items in EconPapers)
JEL-codes: C1 C5 C6 G1 G12 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/173658/1/1011561689.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwqwdp:012018

Access Statistics for this paper

More papers in FAU Discussion Papers in Economics from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2018-11-24
Handle: RePEc:zbw:iwqwdp:012018