Estimation of Performance and Execution Time Effect on High-Frequency Statistical Arbitrage Strategies

Ivilina Popova; Elmira Popova

doi:10.3905/JOT.2010.5.2.023

Estimation of Performance and Execution Time Effect on High-Frequency Statistical Arbitrage Strategies

Ivilina Popova and Elmira Popova

The Journal of Trading Spring 2010, 5 (2) 23-30; DOI: https://doi.org/10.3905/JOT.2010.5.2.023

Ivilina Popova

is an associate professor at the department of finance and economics, McCoy College of Business Administration, Texas State University in San Marcos, TX.

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For correspondence: ip12@txstate.edu

Elmira Popova

is a professor in Operations Research and Industrial Engineering at The University of Texas in Austin, TX.

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For correspondence: elmira@mail.utexas.edu

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Estimation of Performance and Execution Time Effect on High-Frequency Statistical Arbitrage Strategies