手法を比較
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| 流動性リスクモデル（アミハド、ロール、LOT）× | ペアトレーディング（統計的裁定取引）× | |
|---|---|---|
| 分野 | ファイナンス | ファイナンス |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2002 | 2006 |
| 提唱者≠ | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) |
| 種類≠ | Liquidity / illiquidity measurement models | Cointegration-based mean-reversion trading strategy |
| 原典≠ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. DOI ↗ | Gatev, E., Goetzmann, W. N. & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19(3), 797–827. DOI ↗ |
| 別名≠ | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) |
| 関連 | 5 | 5 |
| 概要≠ | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. | Pairs trading is a quantitative trading strategy that takes a long-short position on two cointegrated assets when the gap (spread) between their prices shows mean reversion. It was popularised as a relative-value arbitrage rule by Gatev, Goetzmann and Rouwenhorst (2006) and framed quantitatively by Vidyamurthy (2004). |
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