Detecting data-driven robust statistical arbitrage strategies with deep neural networks

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Additive portfolio improvement and utility-efficient payoffs
Martingales and stochastic integrals in the theory of continuous trading
A general version of the fundamental theorem of asset pricing
Asymptotic analysis of the exponential penalty trajectory in linear programming
Deep learning with long short-term memory networks for financial market predictions
Deep neural networks, gradient-boosted trees, random forests: statistical arbitrage on the S\&P 500
Computation of optimal transport and related hedging problems via penalization and neural networks
Regularisation of neural networks by enforcing Lipschitz continuity
Arbitrage and duality in nondominated discrete-time models
Monge-Kantorovich transportation problem and optimal couplings
Statistical arbitrage in the US equities market
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Learning Deep Architectures for AI
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Duality Formulas for Robust Pricing and Hedging in Discrete Time
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics
Robust statistical arbitrage strategies
Detecting and Repairing Arbitrage in Traded Option Prices
Robust deep hedging
Machine Learning in Finance
Detecting and identifying arbitrage in the spot foreign exchange market
Deep hedging
Iterative Bregman Projections for Regularized Transportation Problems
Pairs trading
On Information and Sufficiency
BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS
Robust risk aggregation with neural networks
Viability and Arbitrage Under Knightian Uncertainty
Generalized statistical arbitrage concepts and related gain strategies
A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport
Hedging With Linear Regressions and Neural Networks