Journal of Mathematical Finance

Volume 10, Issue 2 (May 2020)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 0.96  Citations  h5-index & Ranking

Statistical Arbitrage Strategy in Multi-Asset Market Using Time Series Analysis

HTML  XML Download Download as PDF (Size: 1119KB)  PP. 334-344  
DOI: 10.4236/jmf.2020.102020    135 Downloads   427 Views  


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.

Cite this paper

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.

Cited by

No relevant information.

Copyright © 2020 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.