Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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The Performances of Different Strategies Based on Time Series Analysis for the U.S. Markets

Authors
Chengwei Chen1, *
1School of finance Zhejiang University of Finance and Economics, Hangzhou, China
*Corresponding author. Email: 190110890801@zufe.edu.cn
Corresponding Author
Chengwei Chen
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_75How to use a DOI?
Keywords
arbitrage strategy; Equity trade; Market Neutral Trade; Momentum trade; Futures Trade; potential returns; market efficiency; risk
Abstract

Contemporarily, with globalization and excess liquidity, hedge funds have achieved rapid development. The investment fields are not only limited to the traditional capital market, but also involve almost all currencies, bonds, derivatives, commodities and financial futures markets. It is of great significance for the development of financial market and institutional investors to deeply understand and study the private investment institutions such as hedge fund, especially the profit model and income of hedge fund, i.e., the pricing of hedge fund. This paper selects a variety of arbitrage strategies to analyze their performances in the American market based on time series model. After pointing out the methods adopted by different strategies, this paper summarizes the specific performance of different strategies. In addition, the shortcomings of the paper are also discussed, and the future prospects of the development of arbitrage strategy are demonstrated accordingly. Overall, these results shed light on exploring the risk of arbitrage and the wisest trading decision.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
10.2991/978-94-6463-042-8_75
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_75How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Chengwei Chen
PY  - 2022
DA  - 2022/12/29
TI  - The Performances of Different Strategies Based on Time Series Analysis for the U.S. Markets
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 521
EP  - 526
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_75
DO  - 10.2991/978-94-6463-042-8_75
ID  - Chen2022
ER  -