Statistical arbitrage: factor investing approach
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Cites work
- A genetic algorithm and the Monte Carlo method for stochastic job-shop scheduling
- A Reality Check for Data Snooping
- Common risk factors in the returns on stocks and bonds
- Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
- Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
- Exact sampling of jump diffusions
- Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S\&P 500
- Exploring mispricing in the term structure of CDS spreads
- Large data sets and machine learning: applications to statistical arbitrage
- Model-driven statistical arbitrage on LETF option markets
- On Monte Carlo Methods in Congestion Problems: I. Searching for an Optimum in Discrete Situations
- Pairs trading
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Portfolio problems stopping at first hitting time with application to default risk
- Probabilistic exchange algorithms and Euclidean traveling salesman problems
- Quasi-Monte Carlo methods in financial engineering: an equivalence principle and dimension reduction
- Robust statistical arbitrage strategies
- Self-imposed time windows in vehicle routing problems
- Statistical arbitrage in jump-diffusion models with compound Poisson processes
- Statistical arbitrage in the Black-Scholes framework
- Statistical arbitrage in the US equities market
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
- Statistical arbitrage with vine copulas
- Stochastic calculus for finance. II: Continuous-time models.
- Worst-case conditional value-at-risk with application to robust portfolio management
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