Detecting data-driven robust statistical arbitrage strategies with deep neural networks

DOI10.1137/22M1487928zbMATH Open1544.91305MaRDI QIDQ6557367FDOQ6557367

Authors: Ariel Neufeld, Julian Sester, Daiying Yin 

Publication date: 18 June 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

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zbMATH Keywords

deep learningmodel uncertaintytrading strategiesrobust statistical arbitrage

Mathematics Subject Classification ID

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

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Cited In (1)

• Neural networks can detect model-free static arbitrage strategies

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