Abstract Stochastic Portfolio Theory is a flexible framework for analyzing portfolio behavior
and equity market structure. This theory was introduced by Fernholz in the papers (Journal …

Consider an equity market with n stocks. The vector of proportions of the total market
capitalizations that belong to each stock is called the market weight. The market weight …

Recent advances in high-frequency financial trading have made light propagation delays
between geographically separated exchanges relevant. Here we show that there exist …

In recent years, more sophisticated techniques for analyzing data and exponential increase
in computing power allow high-frequency trading. This paper provides a detailed overview …

Statistical arbitrage strategies are typically based on models of returns. We introduce a new
statistical arbitrage strategy based on dynamic factor models of prices. Our objective in this …

The 75th anniversary of the founding of the Financial Analysts Journal offers a rare vista of
the evolutionary path of financial analysis and its practitioners. That path is by no means …

Topics in Stochastic Portfolio Theory Page 1 Topics in Stochastic Portfolio Theory Alexander
Vervuurt The Queen’s College University of Oxford Thesis submitted for transfer from PRS to …

We introduce a pathwise approach to analyze the relative performance of an equity portfolio
with respect to a benchmark market portfolio. In this energy-entropy framework, the relative …

There is now a substantial literature on the effects of rebalancing on portfolio performance.
However, this literature contains frequent misattribution between 'rebalancing returns', which …

The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time,
continuous-path stochastic portfolio theory of ER Fernholz. FGPs have been formulated to …