Author/Name | Definition |
Panel A: Lexical definitions | |
Burgess (2000) | SA is a framework for identifying, modelling and exploiting small but consistent regularities in asset price dynamics |
Zapart (2003) | SA is an investment opportunity arising from the choice of models for hedging |
Do et al. (2006) | SA is an equity trading strategy that employs time series methods to identify relative mispricing between stocks |
Thomaidis and Kondakis (2006) | SA is an attempt to profit from pricing discrepancies that appear in a group of assets |
Pole (2007) | SA uses mathematical models to generate returns from systematic movements in securities prices |
Avellaneda and Lee (2008) | SA encompasses a variety of strategies characterized by: i) systematic trading signals, ii) market neutral trades and iii) statistical methods |
Montana et al. (2008) | SA is an investment strategy that exploits patterns detected in financial data streams |
Panel B: Conceptual definitions | |
Connor and Lasarte (2003) | SA is a zero-cost portfolio where the probability of a negative payoff is very small but not exactly zero |
Stefanini (2006) | SA seeks to capture imbalances in expected value of financial instruments, while trying to be market neutral |
Saks and Maringer (2008) | SA accepts negative pay-outs with a small probability as long as the expected positive payouts are high enough and the probability of losses is small enough |
Focardi, Fabozzi and Mitov (2016) | SA strategies aim at producing positive, low-volatility returns that are uncorrelated with market returns |
Panel C: Operational definitions | |
δ-Arbitrage | Is a strategy with a Sharpe ratio above a constant and positive δ |
Good Deal | Consists in buying (selling) securities whose market price lies outside a range of plausible prices |
Approximate Arbitrage | Is a strategy whose gain-loss ratio is above a predefined constant value greater than 1 |
Acceptable Opportunity | Is a strategy with a non-negative expected value under each valuation measure and losses capped under the set of stress measures |
ε-Arbitrage | Consists in buying (selling) those derivatives strategies whose price significantly differs from the least costly optimal replication strategy |
SA (Bondarenko) | Is a strategy with expected positive payoff and expected non-negative payoff conditional on the augmented information set |
SA (Hogan et al.) | With time the strategy has positive expected payoff, probability of a loss which tends to zero and time averaged variance which converges to zero |