Exploitation of Stock Deviations from Statistical Equilibrium
May 19, 2014 - Technical Trading
Is is feasible to exploit stock price deviation from a purely statistical estimate of equilibrium? In his February 2014 paper entitled “Back to Black” (the National Association of Active Investment Managers’ 2014 Wagner Award second place winner), Arthur Grabovsky investigates exploitation of a model based on assumptions that: (1) unpredictable investor behavior sometimes makes stock price deviate from equilibrium; and, (2) price then tends… Keep Reading