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Article

Эффективность парного статистического арбитража на российском фондовом рынке

Банковское дело. 2017. № 5. С. 47-51.
Липатников В. С., Ломджария С. Г., Мазуровский П. А., Маркова Т. С.

In this article the market-neutral strategy of paired statistical arbitrage is considered. This trading strategy is relatively new for the Russian stock market, but is widespread among western investors. The essence of paired statistical arbitration is revealed and the effectiveness of this method is estimated on the basis of the model developed by the authors.