Essays in statistical arbitrage

This three-paper thesis explores the important relationship between arbitrage and price efficiency. Chapter 3 investigates the risk-bearing capacity of arbitrageurs under varying degrees and types of risk. A novel stochastic process is introduced to the literature that is capable of jointly capturing fundamental risk factors which are absent from extant specifications. Using stochastic optimal control theory, the degree to which arbitrageurs' investment behaviour is affected by aversion to these risks is analytically characterized, as well as conditions under which arbitrageurs cut losses, effectively exacerbating pricing disequilibria. Chapter 4 explores the role of arbitrage in enforcing price parity between cross-listed securities. This work employs an overlooked mechanism by which arbitrage can maintain parity, namely pairs-trading, which is cheaper to implement than the mechanism most commonly employed in the literature on cross-listed securities. This work shows that arbitrage is successful at enforcing parity between cross-listed securities, and also documents the main limits to arbitrage in this market setting. Chapter 5 examines the extent to which arbitrage contributes to the flow of information across markets. It is shown that microscopic lead/lag relationships of the order of a few hundred milliseconds exist across three major international index futures. Importantly, these delays last long enough, and induce pricing anomalies large enough, to compensate arbitrageurs for appropriating pricing disequilibria. These results accord with the view that temporary disequilibria incentivise arbitrageurs to correct pricing anomalies

Genetic and phenotypic characterization of NKX6‐2‐related spastic ataxia and hypomyelination

Background and purpose Hypomyelinating leukodystrophies are a heterogeneous group of genetic disorders with a wide spectrum of phenotypes and a high rate of genetically unsolved cases. Bi‐allelic mutations in NKX6‐2 were recently linked to spastic ataxia 8 with hypomyelinating leukodystrophy. Methods Using a combination of homozygosity mapping, exome sequencing, and detailed clinical and neuroimaging assessment a series of new NKX6‐2 mutations in a multicentre setting is described. Then, all reported NKX6‐2 mutations and those identified in this study were combined and an in‐depth analysis of NKX6‐2‐related disease spectrum was provided. Results Eleven new cases from eight families of different ethnic backgrounds carrying compound heterozygous and homozygous pathogenic variants in NKX6‐2 were identified, evidencing a high NKX6‐2 mutation burden in the hypomyelinating leukodystrophy disease spectrum. Our data reveal a phenotype spectrum with neonatal onset, global psychomotor delay and worse prognosis at the severe end and a childhood onset with mainly motor phenotype at the milder end. The phenotypic and neuroimaging expression in NKX6‐2 is described and it is shown that phenotypes with epilepsy in the absence of overt hypomyelination and diffuse hypomyelination without seizures can occur. Conclusions NKX6‐2 mutations should be considered in patients with autosomal recessive, very early onset of nystagmus, cerebellar ataxia with hypotonia that rapidly progresses to spasticity, particularly when associated with neuroimaging signs of hypomyelination. Therefore, it is recommended that NXK6‐2 should be included in hypomyelinating leukodystrophy and spastic ataxia diagnostic panels

Evaluating Qatar Central Bank’s Governance on Islamic Banks in Qatar

This paper aims to evaluate the governance of Qatar Central bank (QCB) on Islamic banks (IBs). Related-data will be taken from secondary sources. It is expected that QCB efficiently governs IBs in a way fulfills its unique nature. However, evidence suggests a number of issues in QCB governance towards IBs when looking at various dimensions. In Islamic Financial product dimension, QCB has no clear indications for enforcing its tawaruq-related regulations. This results on the extreme usage of tawaruq by IBs. In the social dimension, while it is suggested by early Islamic economists promoting equity products, such products are very slightly used by IBs in Qatar. The absence of QCB’s regulations to promote such social aspects has led to the concentration of debt-based products. In terms of Sharia governance (SG) dimension, a number of issues have been raised such as the absence of cross-boarding regulations and the proper definition for the qualifications of sharia scholars. It is recommended, thus, to enforce tawaruq regulations properly, to create social-oriented regulations, to fix CG related issues discussed in this paper, and to unify Islamic financial contracts among IBs

Optimal portfolio selection in nonlinear arbitrage spreads

This paper analytically solves the portfolio optimization problem of an investor faced with a risky arbitrage opportunity (e.g. relative mispricing in equity pairs). Unlike the extant literature, which typically models mispricings through the Ornstein-Uhlenbeck (OU) process, we introduce a nonlinear generalization of OU which jointly captures several important risk factors inherent in arbitrage trading. While these factors are absent from the standard OU, we show that considering them yields several new insights into the behavior of rational arbitrageurs: Firstly, arbitrageurs recognizing these risk factors exhibit a diminishing propensity to exploit large mispricings. Secondly, optimal investment behavior in light of these risk factors precipitates the gradual unwinding of losing trades far sooner than is entailed in existing approaches including OU. Finally, an empirical application to daily FTSE100 pairs data shows that incorporating these risks renders our model’s risk-management capabilities superior to both OU and a simple threshold strategy popular in the literature. These observations are useful in understanding the role of arbitrageurs in enforcing price efficiency.<br/

Arbitrage and the law of one price in the market for American depository receipts

Ours is the fi?rst paper to highlight pairs trading as the main price-correcting mechanism by which arbitrage can maintain stock-ADR parity. We show that arbitraging stock-ADR pairs extracts small per-trade pro?fits which accumulate to a substantial aggregate return. The observed strong tendency of pricing disequilibria to mean-revert, along with the two-way convertibility between stocks and ADRs, mean that arbitrageurs face minimal risks toward price divergence. They do, however, face uncertainty about the duration of individual trades. The magnitude of this uncertainty relates directly to the profi?t target arbitrageurs set after a long/short position is established. This fact can explain why some disequilibria go unexploited. Overall, our work provides evidence against automatically e?fficient prices, and supports the view that mispricings incentivize arbitrageurs to enforce market efficiency

Ultra High Frequency Algorithmic Arbitrage Across International Index Futures

We show that persistent lead-lag relationships spanning mere fractions of a seccond exist in all three possible pairings of the S&amp;P500, FTSE100, and DAX futures contracts. These relationships exhibit clear intraday patterns which help us to forecast mid-quote changes in lagging contracts with directional accuracy in excess of 85%. A simple algorithmic trading strategy exploiting these relations yields economically significant profits which are robust to market impact costs and the bid-ask spread. We find that price slippage and infrastructure costs are our most important limits to arbitrage. Our results support the Grossman and Stiglitz (1976, 1980) view that informational ine?fficiencies incentivize arbitrageurs to eliminate mispricings

Design & Development of a High Mass Flow Piston Synthetic Jet Actuator

The idea of having a device that is capable of working in a systematic process allowing control of the boundary layer by means of operated on high-frequency, small-scale, and low energy actuators has caught the interest of the aerodynamicist community. With an eye on the available data and potential flow control advantages, our research team set out to manufacture a compact SJA (Synthetic Jet Actuator) of its own, which would be capable of being installed inside an airfoil. It consists of components such as a single piston cylinder, with variable exit geometry along with the control system that has an electrical actuator which can be regulated in order for it to be capable of producing various operating frequencies. This paper consists of a study into the design of a single piston device SJA and will present all significant data both theoretical and computational regarding its design and performance

Design & Development of a High Mass Flow Piston Synthetic Jet Actuator

The idea of having a device that is capable of working in a systematic process allowing control of the boundary layer by means of operated on high-frequency, small-scale, and low energy actuators has caught the interest of the aerodynamicist community. With an eye on the available data and potential flow control advantages, our research team set out to manufacture a compact SJA (Synthetic Jet Actuator) of its own, which would be capable of being installed inside an airfoil. It consists of components such as a single piston cylinder, with variable exit geometry along with the control system that has an electrical actuator which can be regulated in order for it to be capable of producing various operating frequencies. This paper consists of a study into the design of a single piston device SJA and will present all significant data both theoretical and computational regarding its design and performance

University students' and staff attitudes toward the implementation of a "tobacco-free" policy: A view from Qatar

Objectives: Tobacco-free campus policies are needed to create environments conducive to prevention or quitting in the Eastern Mediterranean Region (EMR), where the use of various tobacco products is on the rise among university students. The objectives of this study were to assess overall support for a 100% tobacco-free campus policy and its predictors among different stakeholder groups at the largest national university in Qatar and to understand attitudes towards specific policy components. Study design: A cross-sectional online survey of faculty and students. Methods: We measured sociodemographic variables, tobacco use, and support for components of a 100% tobacco-free campus policy. A total score for support was calculated, and associations with selected predictors were assessed using multivariable linear regression. Results: 413 respondents participated in the survey. A majority of faculty/staff and students (76.6% and 75.5%, respectively) supported the implementation of a 100% tobacco-free campus policy, with a majority supporting extension of the policy beyond cigarettes. Support for other components of the policy varied. Among students, overall support was lower among males and tobacco users and higher among the married. Among faculty and staff, support was lower among Qatari nationals and tobacco users. Conclusion: In the context of a growing tobacco crisis in the EMR, implementing and understanding the impact of tobacco-free campus policies is essential. This paper underscores the importance of addressing diverse stakeholder attitudes and providing empirical evidence to guide policy implementation and evaluation.We acknowledge the support provided by the Institutional Research and Analytic Department at Qatar University in the sampling and data collection process. Open Access funding provided by the Qatar National Library. The study was reviewed and approved by the Qatar University Institutional Review Board (Research Ethics Approval No is QU-IRB 1620-E/21). This work was supported, in part, by the American Cancer Society Tobacco-Free Generation Campus Initiative Grant (ACS # 64331). GFA-J: conceptualization of the study, questionnaire design, proposal and IRB writer/ approval recipient of the larger project which this study is part of, sampling design and data collection, statistical analysis and manuscript drafting; MSH: conceptualization of the study, questionnaire design, sampling design, and statistical analysis; DAH: conceptualization of the study, questionnaire design, manuscript drafting, editing and critically revising the manuscript; MA-H: Drafting the manuscript; RK: Drafting the manuscript; NH: Statistical analysis, and drafting the manuscript; HFAR: grant writer/recipient; conceptualization; questionnaire design, manuscript drafting and critical review, submit to the journal and respond to reviewers. All authors approved the final version of the manuscript.Scopu