Statistical Arbitrage in the U.S. Equities Market Marco Avellaneda∗† and Jeong-Hyun Lee∗ First draft: July 11‚ 2008 This version: June 15‚ 2009 Abstract We study model-driven statistical arbitrage in U.S. equities. The trading signals are generated in two ways: using Principal Component Analysis and using sector ETFs. In both cases‚ we consider the residuals‚ or idiosyncratic components of stock returns‚ and model them as mean-reverting processes. This leads naturally to “contrarian” trading
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International Monetary Fund‚ Vol. 10‚ pp. 1-47. Dorrance‚ Graeme S. (1966)‚ “Inflation and Growth”‚ Staff Papers‚ International Monetary Fund‚ Vol. 13‚ pp.82-102. E.M. Ekanayake (1999)‚ “Exports and Economic Growth in Asian Developing Countries: Cointegration and Error-Correction Models”‚ Journal of Economic Development Volume 24‚ Number 2. Feder‚ G. (1983)‚ “On Exports and Economic Growth”‚ Journal of Development Economics‚ Vol. 12‚ pp. 59-73. Fisher‚ Stanley‚ (1993)‚ “The Role of Macroeconomic Factors
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For more information about JSTOR‚ please contact support@jstor.org. American Association of Teachers of French is collaborating with JSTOR to digitize‚ preserve and extend access to The French Review. http://www.jstor.org i THEFRENCH EVIEW‚ol. 76‚ No. 2‚ December2002 Printedn U.S.A. V R In the Modernist Mirror: Jacques Tati and the Parisian Landscape by LeeHilliker Les clefs de l ’urbanismesont dans les quatrefonctions: habiter‚travailler‚se recreer(dans les heures libres)
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Abstract This study explores the effect of various factors on the crime rate in the US. The model is estimated using the OLS procedure and a cross-sectional data set across the fifty states in 2000. The four variables that are found to have significant coefficients are police expenditures per crime in 1999‚ unemployment rate‚ per capita income‚ and the percentage of people living in poverty. Specifically‚ for every dollar increase per crime in 1999‚ the crime rate is found to decline by 260 crimes
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An Alternative Retail Pricing Policy for Petroleum Products: A Case Study of Gasoline and High Speed Diesel in Thailand Thiraphong Vikitset School of Development Economics National Institute of Development Administration 118 Seri Thai Road‚ Bangkapi District‚ Bangkok 10240‚ Thailand E-mail: thiraphongv@yahoo.com. 2 Abstract This article examines the retail pricing policy of gasoline and high speed diesel in Thailand. The pricing policy of these two products is characterized by cross price
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NBER WORKING PAPER SERIES THE PURCHASING POWER PARITY DEBATE Alan M. Taylor Mark P. Taylor Working Paper 10607 http://www.nber.org/papers/w10607 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge‚ MA 02138 June 2004 Forthcoming in Journal of Economic Perspectives. For their helpful comments we thank‚ without implicating‚ Menzie Chinn‚ Richard Clarida‚ Bradford DeLong‚ Charles Engel‚ James Hines‚ James Lothian‚ Bennett McCallum‚ Michael Melvin‚ Peter Neary‚ Maurice Obstfeld
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Chapter 1 – Introduction to Data Communications Th is is th e b egin n in g of a cu m u la tive ca s e s tu d y a b ou t a fictit iou s fir m we ca ll Next-Da y Air S er vice (NDAS ). Th e ca s e s t u d y b egin s h er e in Ch a p ter 1 a n d con tin u es th r ou gh ou t th e r es t of th e b ook . It r equ ir es you to com p lete ta s k s th a t a r e r ela ted to top ics cover ed in ea ch cor r es p on d in g ch a p ter of th e text. Th e en d of ea ch ch a p ter con ta in s th e ca s e n
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I.INTRODUCTION 1.1 background A large body of facts associates’ financial sector development leads to boost the Ethiopian economic growth or vice versa‚ yet the channels through which inflation affects this relationship are not as much of systematically explored. The effect of inflation occurs through a wide variety of direct and indirect channels. Inflation increases transactions and information costs which directly inhibit economic development. For example‚ economic agents will find planning
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Hệ số nhân tiền qua khái niệm tiền cơ sở khả dụngvà một số mô hình phản ánh tác động của lãi suất. ThS. Bùi Duy Phú 1. Xây dựng mô hình hệ số nhân tiền Về phương diện tổng quát‚ vấn đề cung tiền như là kết quả của tiền cơ sở‚ tỷ lệ tiền mặt‚ tỷ lệ dự trữ và tỷ lệ tiền gửi có kỳ hạn đã được nhiều nghiên cứu khác nhau đề cập đến. Mô hình xác định hệ số nhân tiền m1 và m2 liên quan tới khối lượng tiền cung ứng M1 và M2 đã được xây dựng ([1]). Trong các công thức đó chưa cho thấy khả năng dịch
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THE IMPACT OF INTERNET BANKING ON BANK’S PROFITABILITY : THE CASE OF NORTH CYPRUS Nesrin Özataç(Asst.Prof.Dr) Eastern Mediterranean University E-Mail: nesrin.ozatac@emu.edu.tr Jude Chimezie Nwobodo(MSc) Eastern Mediterranean University E-Mail: juddywest@yahoo.com ABSTRACT The growth in information technology is becoming an important factor in the development of the banking industry. For the banks‚ technology has emerged as a strategic resource for achieving higher efficiency‚ control of
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