Work by LSE’s Dr Dong Lou and Professor Christopher Polk was recognised by leading global investment management firm AQR as part of their annual Insight Award. The paper, ‘Comomentum: Inferring Arbitrage Activity From Return Correlations’, proposes a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market.
The AQR Insight Award, sponsored by AQR Capital Management, recognizes important, unpublished papers that provide the most significant, new practical insights for tax-exempt institutional or taxable investor portfolios. Up to three papers share a $100,000 prize.
Read more about the Honorable Mention from AQR.