You discover a technical 'anomaly' in the US stock market. You find that stocks that go up
Fantastic news! We've Found the answer you've been seeking!
Question:
You discover a technical 'anomaly' in the US stock market. You find that stocks that go up X% or more 2 days in a row have an expected alpha of X/100% the following day (for example if a stock goes up 6% and 9%, then the next day its expected alpha is 0.06%).
Suppose stock A has a BID-ASK spread of 0.2%, and has gone up 10% and 15% percent in the last 2 days. What is your expected profit (in dollars) if you choose to implement your strategy and take a $1000 position in the stock for one day?
Related Book For
Statistics The Art And Science Of Learning From Data
ISBN: 9780321755940
3rd Edition
Authors: Alan Agresti, Christine A. Franklin
Posted Date: