Stochastic Arbitrage and its Efficiency on Modern Stock Markets of USA and Russia

Student: Chesnokov Vadim

Supervisor: Aleksey Debelov

Educational Programme: Master

Year of Graduation: 2014

<p>Stochastic arbitrage models and financial efficiency of these models are studied by the example of trading strategy based on day closing prices cointegration of stocks on markets of USA and Russia from January 2011 to December 2013. The strategy allows for broker commissions, short selling commissions, bid-ask spread. The trading strategy has shown its financial efficiency both on stock markets of USA and Russia. But reasons of the efficiency are different: insufficient liquidity in Russia and a lot of possible trading pairs in USA.</p>

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