Comomentum: Inferring Arbitrage Activity from Return Correlations

Academic journals

Publication Date

01/07/2022

The Review of Financial Studies

Publication Authors

Dong Lou, Christopher Polk (2022). Comomentum: Inferring Arbitrage Activity from Return Correlations. The Review of Financial Studies. 35(7), 3272–3302.

doi: 10.1093/rfs/hhab117