Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization

By Kasper Johansson, Thomas Schmelzer, Stephen Boyd

Published 2024-02-14

Everscope rating

1434.1

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Convex-Concave Procedure. Problem types: Portfolio Optimization, Statistical Arbitrage.

arXiv:2402.08108 · Code · Paper rankings

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