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

DOI10.1080/14697688.2023.2181707MaRDI QIDQ6158423zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

convolutional neural networkdeep learninglong short-term memorypairs tradingstatistical arbitrage

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(7)

• Deep learning with long short-term memory networks for financial market predictions
• 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
• 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
• Detecting data-driven robust statistical arbitrage strategies with deep neural networks
• Neural networks can detect model-free static arbitrage strategies

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