SSRNTrading, Microstructure & Execution
Statistical Arbitrage with Deep Learning: High Returns and Outperformance
High Returns and Outperformance: The research introduces a new data-driven method for statistical arbitrage that uses machine learning to maximize risk-adjusted returns, outperforming all benchmark approaches in a study on daily US equities.
Featured in No. 14 on 30 Aug 2023 ·
- Released
- 8 Jun 2021
- First featured
- No. 14 · 30 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4553110
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).