behavioral statistical arbitrage dmytro sudak olena suslova and are students at the master of science in banking finance program hec university lausanne authors thank prof francois serge lhabitant who was their advisor on this thesis alois zimmermenn director alphaswiss quant usa ltd for helpful comments 2 abstract one inefficiencies observed financial markets is a momentum effect inefficiency can be exploited by trading strategy most empirical studies were made us stock market we test european particular swiss french german elaborate portfolio optimisation which would enable to realise positive returns portfolios implement use cumulative as an indicator winners losers stocks included into develop three approaches minimisation variance covariance between long short positions while holding beta equal 0 also two measurement periods
