Source Themes

The Statistical Limit of Arbitrage
When alphas are weak and rare, and arbitrageurs have to learn about alphas from historical data, there is a gap between Sharpe ratio …
with Stefan Nagel, Dacheng Xiu
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Disentangling Autocorrelated Intraday Returns
We propose a semiparametric approach to disentangling the autocovariance of equity returns at high frequency. We assume the observed …
with Dacheng Xiu
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