High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control
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Publication:5207795
DOI10.1080/1350486X.2019.1702067zbMath1430.91095arXiv1901.09309OpenAlexW2995185413MaRDI QIDQ5207795
Publication date: 13 January 2020
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.09309
stochastic controlOrnstein-Uhlenbeck processmean reversionfactor modelsalgorithmic tradingstatistical arbitrage
Optimal stochastic control (93E20) Diffusion processes (60J60) Portfolio theory (91G10) Financial markets (91G15)
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Cites Work
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