TITLE:
What Is Statistical Arbitrage?
AUTHORS:
Marco Lazzarino, Jenny Berrill, Aleksandar Šević
KEYWORDS:
Statistical Arbitrage, Investment Strategies, Classification
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.5,
April
9,
2018
ABSTRACT: Statistical Arbitrage (SA) is a common financial
term. However, there is no common definition in the literature while investors
use the expression SA for a variety of different strategies. So, what is SA? In
order to answer this question, we investigate SA strategies across equity,
fixed income and commodity. The analysis of strategies’ key features indicates
that no existing definition fully describes them. To bridge this gap, we
identify a general definition and propose a classification system that
encompasses the current forms of SA strategies while facilitating the inclusion
of new types as they emerge.