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Optimal Portfolio Design for Statistical Arbitrage in Finance

https://doi.org/10.1109/ssp.2018.8450775
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118745540.ch3openalex-snapshot
Mean‐Reverting Portfolios
inferredcites →https://doi.org/10.1016/j.automatica.2007.11.003openalex-snapshot
Trading a mean-reverting asset: Buy low and sell high
inferredcites →https://doi.org/10.1080/14697680903124632openalex-snapshot
Statistical Arbitrage in the U.S. Equities Market
inferredcites →https://doi.org/10.1080/14697688.2010.481634openalex-snapshot
Identifying small mean-reverting portfolios
inferredcites →https://doi.org/10.1093/rfs/hhj020openalex-snapshot
Pairs Trading: Performance of a Relative-Value Arbitrage Rule
inferredcites →https://doi.org/10.1109/acssc.2016.7869634openalex-snapshot
Mean-reverting portfolio design via majorization-minimization method
inferredcites →https://doi.org/10.1109/globalsip.2017.8309093openalex-snapshot
Robust maximum likelihood estimation of sparse vector error correction model
inferredcites →https://doi.org/10.1109/tsp.2005.859241openalex-snapshot
Convex primal decomposition for multicarrier linear MIMO transceivers
inferredcites →https://doi.org/10.1109/tsp.2013.2293126openalex-snapshot
Decomposition by Partial Linearization: Parallel Optimization of Multi-Agent Systems
inferredcites →https://doi.org/10.1109/tsp.2016.2637317openalex-snapshot
Parallel and Distributed Methods for Constrained Nonconvex Optimization—Part I: Theory
inferredcites →https://doi.org/10.1109/tsp.2018.2799193openalex-snapshot
Mean-Reverting Portfolio With Budget Constraint
inferredcites →https://doi.org/10.1111/joes.12153openalex-snapshot
STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK
inferredcites →https://doi.org/10.1145/1390156.1390191openalex-snapshot
Efficient projections onto the l 1 -ball for learning in high dimensions
inferredcites →https://doi.org/10.12660/rbfin.v11n1.2013.4785openalex-snapshot
Seleção de uma Carteira de Pares de Ações Usando Cointegração: Uma Estratégia de Arbitragem Estatística
inferredcites →https://doi.org/10.1287/opre.26.4.681openalex-snapshot
Technical Note—A General Inner Approximation Algorithm for Nonconvex Mathematical Programs
inferredcites →https://doi.org/10.1561/2200000016openalex-snapshot
Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
inferredcites →https://doi.org/10.1561/9781601984616openalex-snapshot
Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
inferredcites →https://doi.org/10.2139/ssrn.2196391openalex-snapshot
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
inferredcites →https://doi.org/10.2307/1913236openalex-snapshot
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.2307/2938278openalex-snapshot
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
inferredcites →https://doi.org/10.3905/jai.2002.319057openalex-snapshot
Market Neutral Strategies

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4723567openalex-extracted
Finding Moving-Band Statistical Arbitrages Convex-Concave Optimization
inferred← citeshttps://doi.org/10.1007/978-3-031-84782-0_16openalex-snapshot
Statistical Arbitrage: An Approach from Econophysics
inferred← citeshttps://doi.org/10.1007/s11081-024-09933-0openalex-snapshot
Finding moving-band statistical arbitrages via convex–concave optimization
inferred← citeshttps://doi.org/10.1007/s43069-021-00073-0openalex-snapshot
Robust Arbitrage Conditions for Financial Markets
inferred← citeshttps://doi.org/10.1016/j.eswa.2023.121906openalex-snapshot
Statistical arbitrage portfolio construction based on preference relations
inferred← citeshttps://doi.org/10.1057/s41260-025-00405-3openalex-snapshot
A Markowitz approach to managing a dynamic basket of moving-band statistical arbitrages
inferred← citeshttps://doi.org/10.1109/apsipaasc65261.2025.11249336openalex-snapshot
Large Sparse Covariance Matrix Estimation via Dual Proximal Gradient Method
inferred← citeshttps://doi.org/10.1109/tsp.2019.2893862openalex-snapshot
Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance
inferred← citeshttps://doi.org/10.1111/itor.13123openalex-snapshot
A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
inferred← citeshttps://doi.org/10.1111/itor.13442openalex-snapshot
Statistical proxy based mean‐reverting portfolios with sparsity and volatility constraints
inferred← citeshttps://doi.org/10.21203/rs.3.rs-4196380/v1openalex-snapshot
Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
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