Neural networks can detect model-free static arbitrage strategies

DOI10.1007/S00245-024-10184-9MaRDI QIDQ6622697zbMATH OpenFDO

Authors Ariel Neufeld, Julian Sester

Publication date 22 October 2024

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00245-024-10184-9

zbMATH Keywords

convex optimizationdeep learningmodel-free financestatic arbitrage

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Convex programming (90C25) Financial markets (91G15) Financial applications of other theories (91G80)

Recommendations

• Detecting data-driven robust statistical arbitrage strategies with deep neural networks
• Arbitrage-Free Neural-SDE Market Models
• scientific article; zbMATH DE number 1304889
• A hybrid convolutional neural network with long short-term memory for statistical arbitrage
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500

Cites work

• A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport
• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• Arbitrage bounds for prices of weighted variance swaps
• Computation of optimal transport and related hedging problems via penalization and neural networks
• Continuous selections. I
• Currency arbitrage detection using a binary integer programming model
• Detecting and identifying arbitrage in the spot foreign exchange market
• Detecting and repairing arbitrage in traded option prices
• Detecting data-driven robust statistical arbitrage strategies with deep neural networks
• Detection of arbitrage opportunities in multi-asset derivatives markets
• Duality Formulas for Robust Pricing and Hedging in Discrete Time
• Financial economics without probabilistic prior assumptions
• Financial options and statistical prediction intervals
• scientific article; zbMATH DE number 3144124 (Why is no real title available?)
• scientific article; zbMATH DE number 1405266 (Why is no real title available?)
• Infinite dimensional analysis. A hitchhiker's guide.
• Logistic regression. A self-learning text. With contributions by Erica Rihl Pryor.
• Model-free price bounds under dynamic option trading
• Model-free superhedging duality
• Model-independent superhedging under portfolio constraints
• Pathwise superhedging on prediction sets
• Penalty and smoothing methods for convex semi-infinite programming
• Pointwise Arbitrage Pricing Theory in Discrete Time
• Robust pricing and hedging of options on multiple assets and its numerics
• Robust pricing-hedging dualities in continuous time
• Static-arbitrage optimal subreplicating strategies for basket options
• Static-arbitrage upper bounds for the prices of basket options
• Viability and arbitrage under Knightian uncertainty

Cited in

(2)

• Arbitrage-Free Neural-SDE Market Models
• Detecting data-driven robust statistical arbitrage strategies with deep neural networks

This page was built for publication: Neural networks can detect model-free static arbitrage strategies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6622697)