Author(s)

Takahiro Imai, Kei Nakagawa

Innovation Lab Department, Nomura Asset Management Co. Ltd., Tokyo, Japan.

The statistical arbitrage strategy is one of the most traditional investment strategies. There are many theoretical and empirical studies until now. However, almost all of the statistical arbitrage strategies focus on the price difference (spread) between two similar assets in the same asset class and exploit the mean reversion of spreads, i.e. pairs trading. In this study, we extend the strategy to multiple assets in the multi-asset market. Although mean-reverting portfolios were derived based on a single criterion in related researches, we derive a mean-reverting portfolio by optimizing multiple mean-reversion criteria. We expect that a mean-reverting portfolio based on multiple indicators leads to a higher return/risk. We perform an empirical analysis in multi-asset market and show the profitability of our strategy.

Statistical Arbitrage Strategy, Asset Allocation, Mean Reverting Portfolio

Imai, T. and Nakagawa, K. (2020) Statistical Arbitrage Strategy in Multi-Asset Market Using Time Series Analysis. Journal of Mathematical Finance, 10, 334-344. doi: 10.4236/jmf.2020.102020.