Record number :
1735516
Title of article :
Spontaneous symmetry breaking of arbitrage
Author/Authors :
Choi، نويسنده , , Jaehyung، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Pages :
13
From page :
3206
To page :
3218
Abstract :
We introduce the concept of spontaneous symmetry breaking to arbitrage modeling. In the model, the arbitrage strategy is considered as being in the symmetry breaking phase and the phase transition between arbitrage mode and no-arbitrage mode is triggered by a control parameter. We estimate the control parameter for a momentum strategy with real historical data. The momentum strategy aided by symmetry breaking shows stronger performance and has a better risk measure than the naive momentum strategy in U.S. and South Korean markets.
Keywords :
spontaneous symmetry breaking , Momentum Strategy , Arbitrage modeling
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications
Serial Year :
2012
Link To Document :
بازگشت