From statistical arbitrage to big data study

ZHENG Wei-an

Issue 3

Jul. 2014

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ZHENG Wei-an. From statistical arbitrage to big data study[J]. Journal of East China Normal University (Natural Sciences), 2014, (3): 159-163.

Citation:

ZHENG Wei-an. From statistical arbitrage to big data study[J]. Journal of East China Normal University (Natural Sciences), 2014, (3): 159-163.

ZHENG Wei-an. From statistical arbitrage to big data study[J]. Journal of East China Normal University (Natural Sciences), 2014, (3): 159-163.

Citation:

ZHENG Wei-an. From statistical arbitrage to big data study[J]. Journal of East China Normal University (Natural Sciences), 2014, (3): 159-163.

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From statistical arbitrage to big data study

ZHENG Wei-an

1.
Academy of International Transport and Logistics, ECNU, Shanghai 200062, China

Received Date: 2014-03-01
Rev Recd Date: 2014-05-01
Publish Date: 2014-05-25

Abstract

Abstract

Big data is a hot term. However its strict theoretical basis has not been formed yet.The purpose of research in big data is from its application. From their mathematical formulation,big data and massive high-dimensional and high-frequency data have no big difference. From the statistical point of view, the big data study is to find a lower-dimensional stationary time series from the high-dimensional and high-frequency massive data, then use the law of large numbers(the ergodic theorem) to find the value of its application. In finance, that is just statistical arbitrage.
- big data,
- stationary time series,
- statistical arbitrage

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References(1)

References

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