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Advanced Statistical Arbitrage with Reinforcement Learning

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What this work says

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

inferredcites →https://doi.org/10.1007/s10287-009-0105-8openalex-extracted

Dynamic modeling of mean-reverting spreads for statistical arbitrage

inferredcites →https://doi.org/10.1016/j.automatica.2019.108651openalex-extracted

Sparse Mean-Reverting Portfolios Via Penalized Likelihood Optimization

inferredcites →https://doi.org/10.1016/j.eswa.2020.113490openalex-extracted

Enhancing a Pairs Trading strategy with the application of Machine Learning

inferredcites →https://doi.org/10.1057/jdhf.2013.1openalex-extracted

Pairs trading: A copula approach

inferredcites →https://doi.org/10.1080/00036846.2014.975417openalex-extracted

Pairs trading and selection methods: is cointegration superior?

inferredcites →https://doi.org/10.1080/14697680500149370openalex-extracted

Pairs trading

inferredcites →https://doi.org/10.1080/14697680903124632openalex-extracted

Statistical Arbitrage in the U.S. Equities Market

inferredcites →https://doi.org/10.1093/rfs/hhj020openalex-extracted

Pairs Trading: Performance of a Relative-Value Arbitrage Rule

inferredcites →https://doi.org/10.1108/sef-08-2018-0264openalex-extracted

Constructing cointegrated cryptocurrency portfolios for statistical arbitrage

inferredcites →https://doi.org/10.1109/icsmc.2007.4414161openalex-extracted

Important extrema of time series

inferredcites →https://doi.org/10.1111/exsy.12649openalex-extracted

Pairs trading on different portfolios based on machine learning

inferredcites →https://doi.org/10.1111/j.1475-6803.2012.01317.xopenalex-extracted

ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?

inferredcites →https://doi.org/10.1142/9839openalex-extracted

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications

inferredcites →https://doi.org/10.1142/s021902491550020xopenalex-extracted

OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

inferredcites →https://doi.org/10.1287/mnsc.2022.03132openalex-extracted

Deep Learning Statistical Arbitrage

inferredcites →https://doi.org/10.2139/ssrn.3235890openalex-extracted

Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage

inferredcites →https://doi.org/10.2307/1913236openalex-extracted

Co-Integration and Error Correction: Representation, Estimation, and Testing

inferredcites →https://doi.org/10.3905/jai.2012.15.1.085openalex-extracted

Trading in the Presence of Cointegration

inferredcites →https://doi.org/10.3905/jot.2010.5.1.048openalex-extracted

A Profit Model for Spread Trading with an Application to Energy Futures

inferredcites →https://doi.org/10.3905/jot.2016.11.3.041openalex-extracted

Pairs Trading with Copulas

What points at this work

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inferred← citeshttps://doi.org/10.3390/risks14030063openalex-snapshot

Human-AI Synergy in Statistical Arbitrage: Enhancing Robustness Across Volatile Financial Markets

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