A hybrid convolutional neural network with long short-term memory for statistical arbitrage

DOI10.1080/14697688.2023.2181707zbMath1518.91258OpenAlexW4323655433MaRDI QIDQ6158423

Unnamed Author, Eva Lütkebohmert

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2181707

zbMATH Keywords

pairs tradingdeep learningstatistical arbitrageconvolutional neural networklong short-term memory

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

Cites Work

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• Pairs trading: optimal thresholds and profitability
• Pairs trading based on statistical variability of the spread process
• Pairs trading

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