Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
By Kasper Johansson, Thomas Schmelzer, Stephen Boyd
Rating
1321
Battle Count: 159
Relevance
9/10
Directly applicable to statistical arbitrage strategies in quantitative trading
Implementation Complexity
7/10
Requires understanding of convex optimization and financial concepts
Reproducibility
4/5
Code available on GitHub, detailed methodology provided
About this paper
Methodology: Convex-Concave Procedure. Problem types: Portfolio Optimization, Statistical Arbitrage.
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