Statistical arbitrage: factor investing approach

DOI10.1007/s00291-023-00733-zOpenAlexW3128140225MaRDI QIDQ6201542

Ahmet Sensoy, Alper A. Hekimoglu, Erdinç Akyıldırım, Duc Khuong Nguyen, Ahmet Göncü

Publication date: 21 February 2024

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-023-00733-z

zbMATH Keywords

Monte Carlo simulationgeometric Brownian motiontrading strategiesfactor modelsstatistical arbitrage

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Cites Work

• Probabilistic exchange algorithms and Euclidean traveling salesman problems
• Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
• Stochastic calculus for finance. II: Continuous-time models.
• Self-imposed time windows in vehicle routing problems
• Statistical arbitrage in jump-diffusion models with compound Poisson processes
• Large data sets and machine learning: applications to statistical arbitrage
• Portfolio problems stopping at first hitting time with application to default risk
• Statistical arbitrage in the US equities market
• Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Exploring Mispricing in the Term Structure of CDS Spreads*
• Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
• A Reality Check for Data Snooping
• Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
• Statistical arbitrage with vine copulas
• Statistical arbitrage in the Black–Scholes framework
• A genetic algorithm and the Monte Carlo method for stochastic job-shop scheduling
• Robust statistical arbitrage strategies
• Exact Sampling of Jump Diffusions
• Model-driven statistical arbitrage on LETF option markets
• Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500
• Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
• On Monte Carlo Methods in Congestion Problems: I. Searching for an Optimum in Discrete Situations
• Common risk factors in the returns on stocks and bonds
• Pairs trading

This page was built for publication: Statistical arbitrage: factor investing approach