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 |
|---|---|---|---|
| default for all languages | No label defined |
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| English | High-dimensional statistical arbitrage with factor models and stochastic control |
scientific article; zbMATH DE number 7150303 |
Statements
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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0.7974085211753845
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0.7863621115684509
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0.744361400604248
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0.7386702299118042
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