| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480756 | Physica A: Statistical Mechanics and its Applications | 2012 | 13 Pages |
Abstract
⺠We apply spontaneous symmetry breaking concept to arbitrage modeling. ⺠Arbitrage strategies can be considered to be in the arbitrage phase emergent by a control parameter. ⺠Guided by the forecasted control parameter, momentum strategies show better performance and risk-reward ratio.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Jaehyung Choi,