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Found 2 papers, 1 papers with code
Deep Learning Statistical Arbitrage
Statistical arbitrage exploits temporal price differences between similar assets.
High-dimensional statistical arbitrage with factor models and stochastic control
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally implementable in a high-dimensional setting.
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