Statistical arbitrage for multiple co-integrated stocks

DOI10.1007/s00245-022-09838-3zbMath1493.62588arXiv1908.02164OpenAlexW3173199131MaRDI QIDQ2152592

Thomas Nanfeng Li, Andrew Papanicolaou

Publication date: 8 July 2022

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

Full work available at URL: https://arxiv.org/abs/1908.02164

zbMATH Keywords

stochastic controloptimisationmatrix Riccati equationfactor modelstatistical arbitrageco-integrated stockseigenportfoliomarket-neutral portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10)

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