SSRNTrading, Microstructure & Execution
Convergence Risk Statistical Arbitrage
The authors suggest a modified generalized smooth-transition (MGST) function to estimate pair-specific convergence risk in statistical arbitrage, showing higher cumulative return and Sharpe Ratio net of transaction costs.
Featured in No. 87 on 5 Mar 2025 · 13 days after release
- Released
- 20 Feb 2025
- First featured
- No. 87 · 5 Mar 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 23
- Identifier
- SSRN 5146270
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