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