Statistical-arbitrage
Holiday Effect in Equity Markets: A Systematic Trading Strategy
A comprehensive analysis of the holiday effect in Amazon stock around Black Friday and Prime Day events. Over 1998-2025, the strategy achieves a Sharpe ratio of 0.54 with a 75.8% win rate across 33 trades, statistically significant at the 1% level (t-stat 3.96, p=0.0002), with a put-selling overlay achieving 92% win rate.
Statistical Arbitrage Through Pairs Trading: A Practical Demonstration
A practical demonstration of pairs trading strategies using fractional cointegration and stochastic optimal control. The framework combines Ornstein-Uhlenbeck spread dynamics, Gaussian Process threshold optimization, and a reinforcement learning agent, achieving a Sharpe ratio of 2.86–3.27 on BTC/ETH with 35% higher risk-adjusted returns versus benchmarks.