Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500 - Stübinger, Johannes; Schneider, Lucas (Friedrich-Alexander-Universität Erlangen-Nürnberg, 2019)
Keywords: computational finance; asset pricing models; overnight price gaps; financial econometrics; mean-reversion; statistical arbitrage; high-frequency data; jump-diffusion model