{"published":"2024-10-25 23:53:03","image_url":null,"width":"100%","version":"1.0","blog_url":"https://himaginary.hatenablog.com/","title":"\u88c1\u5b9a\u306e\u7d71\u8a08\u7684\u9650\u754c","height":"190","html":"<iframe src=\"https://hatenablog-parts.com/embed?url=https%3A%2F%2Fhimaginary.hatenablog.com%2Fentry%2F20241025%2FStatistical_Limit_of_Arbitrage\" title=\"\u88c1\u5b9a\u306e\u7d71\u8a08\u7684\u9650\u754c - himaginary\u2019s diary\" class=\"embed-card embed-blogcard\" scrolling=\"no\" frameborder=\"0\" style=\"display: block; width: 100%; height: 190px; max-width: 500px; margin: 10px 0px;\"></iframe>","categories":["\u7d4c\u6e08"],"author_name":"himaginary","blog_title":"himaginary\u2019s diary","type":"rich","url":"https://himaginary.hatenablog.com/entry/20241025/Statistical_Limit_of_Arbitrage","provider_name":"Hatena Blog","provider_url":"https://hatena.blog","description":"\u3068\u3044\u3046NBER\u8ad6\u6587\u304c\u4e0a\u304c\u3063\u3066\u3044\u308b\uff08ungated\u7248\uff09\u3002\u539f\u984c\u306f\u300cThe Statistical Limit of Arbitrage\u300d\u3067\u3001\u8457\u8005\u306fRui Da\uff08\u30a4\u30f3\u30c7\u30a3\u30a2\u30ca\u5927\uff09\u3001Stefan Nagel\uff08\u30b7\u30ab\u30b4\u5927\uff09\u3001Dacheng Xiu\uff08\u540c\uff09\u3002 \u4ee5\u4e0b\u306f\u305d\u306e\u8981\u65e8\u3002 We investigate the economic consequences of statistical learning for arbitrage pricing in a high-dimensional setting. Arbitrageurs learn about alphas from historical dat\u2026","author_url":"https://blog.hatena.ne.jp/himaginary/"}