Statistical arbitrage: factor investing approach (Q6201542): Difference between revisions

@@ Property / DOI @@
-.1007/s00291-023-00733-z
@@ Property / DOI: 10.1007/s00291-023-00733-z / rank @@
-Normal rank
@@ Property / cites work @@
+Statistical arbitrage in jump-diffusion models with compound Poisson processes
+Normal rank
@@ Property / cites work @@
+Statistical arbitrage in the US equities market
@@ Property / cites work: Statistical arbitrage in the US equities market / rank @@
+Normal rank
@@ Property / cites work @@
+Pairs trading
@@ Property / cites work: Pairs trading / rank @@
+Normal rank
@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
+Normal rank
@@ Property / cites work @@
+Exact Sampling of Jump Diffusions
@@ Property / cites work: Exact Sampling of Jump Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical arbitrage in the Black–Scholes framework
+Normal rank
@@ Property / cites work @@
+Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
+Normal rank
@@ Property / cites work @@
+Large data sets and machine learning: applications to statistical arbitrage
+Normal rank
@@ Property / cites work @@
+Self-imposed time windows in vehicle routing problems
+Normal rank
@@ Property / cites work @@
+Exploring Mispricing in the Term Structure of CDS Spreads*
+Normal rank
@@ Property / cites work @@
+Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&amp;P 500
+Normal rank
@@ Property / cites work @@
+Portfolio problems stopping at first hitting time with application to default risk
+Normal rank
@@ Property / cites work @@
+Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
+Normal rank
@@ Property / cites work @@
+Robust statistical arbitrage strategies
@@ Property / cites work: Robust statistical arbitrage strategies / rank @@
+Normal rank
@@ Property / cites work @@
+Model-driven statistical arbitrage on LETF option markets
+Normal rank
@@ Property / cites work @@
+On Monte Carlo Methods in Congestion Problems: I. Searching for an Optimum in Discrete Situations
+Normal rank
@@ Property / cites work @@
+Probabilistic exchange algorithms and Euclidean traveling salesman problems
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Statistical arbitrage with optimal causal paths on high-frequency data of the S&amp;P 500
+Normal rank
@@ Property / cites work @@
+Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
+Normal rank
@@ Property / cites work @@
+Statistical arbitrage with vine copulas
@@ Property / cites work: Statistical arbitrage with vine copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
+Normal rank
@@ Property / cites work @@
+A Reality Check for Data Snooping
@@ Property / cites work: A Reality Check for Data Snooping / rank @@
+Normal rank
@@ Property / cites work @@
+A genetic algorithm and the Monte Carlo method for stochastic job-shop scheduling
+Normal rank
@@ Property / cites work @@
+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
+Normal rank
@@ Property / DOI @@
+.1007/S00291-023-00733-Z
@@ Property / DOI: 10.1007/S00291-023-00733-Z / rank @@
+Normal rank