High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control (Q5207795)
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scientific article; zbMATH DE number 7150303
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control |
scientific article; zbMATH DE number 7150303 |
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High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control (English)
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13 January 2020
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statistical arbitrage
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factor models
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algorithmic trading
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Ornstein-Uhlenbeck process
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mean reversion
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stochastic control
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