题　目：The Statistical Limit of Arbitrage

嘉　宾：笪睿 助理教授 Indiana University

主持人：张澄宇 助理教授 上海交通大学安泰经济与管理学院

时　间：2025年6月4日（周三）13:30-15:00

地　点：上海交通大学 徐汇校区安泰浩然楼306室

内容简介:

We investigate the economic consequences of statistical learning for arbitrage pricing in a high-dimensional setting. Arbitrageurs learn about alphas from historical data. When alphas are weak and rare, estimation errors hinder arbitrageurs—even those employing optimal machine learning techniques—from fully exploiting all true pricing errors. This statistical limit to arbitrage widens the equilibrium bounds of alphas beyond what traditional arbitrage pricing theory predicts, leading to a significant divergence between the feasible Sharpe ratio achievable by arbitrageurs and the unattainable theoretical maximum under perfect knowledge of alphas.

演讲人简介：

Rui Da joins Indiana University Kelley School of Business in 2023 and is an Assistant Professor in the finance department, after finishing his PhD in Business from the University of Chicago Booth School of Business. His research focuses on asset pricing, machine learning and financial econometrics. His work has been published in Econometrica.

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