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Article

Статистический арбитраж на российском фондовом рынке

Володин С. Н., Коченков И. А.

The article is devoted to a new approach for the Russian market, aimed at predicting the prices of financial assets and making market operations - a statistical arbitrage. Despite the fact that the western markets, investors have long been actively using the methods of statistical arbitrage, in Russia they have not yet received adequate distribution. The authors reveal the essence of this approach and demonstrated its effectiveness in the Russian stock market.