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

DOI10.1080/14697688.2023.2181707zbMATH Open1518.91258OpenAlexW4323655433MaRDI QIDQ6158423FDOQ6158423

Authors: 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

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zbMATH Keywords

deep learningpairs tradingstatistical arbitrageconvolutional neural networklong short-term memory

Mathematics Subject Classification ID

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

Cites Work

• Scikit-learn: machine learning in Python
• Testing for unit roots in autoregressive-moving average models of unknown order
• Pairs trading
• Time series analysis by state space methods.
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Statistical arbitrage in the US equities market
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Deep learning with long short-term memory networks for financial market predictions
• Pairs trading based on statistical variability of the spread process
• Revealing pairs-trading opportunities with long short-term memory networks
• Analytic value function for optimal regime-switching pairs trading rules
• Pairs trading: optimal thresholds and profitability
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• A pairs trading strategy based on linear state space models and the Kalman filter
• Pairs trading with partial cointegration

Cited In (7)

• Detecting data-driven robust statistical arbitrage strategies with deep neural networks
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Revealing pairs-trading opportunities with long short-term memory networks
• Deep learning with long short-term memory networks for financial market predictions
• Neural networks can detect model-free static arbitrage strategies
• Application of a TGARCH-wavelet neural network to arbitrage trading in the metal futures market in China
• An arbitrage strategy model for ferrous metal futures based on LSTM neural network

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