Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market

By Adam Korniejczuk, Robert Ślepaczuk

Published 2024-06-15

Everscope rating

1517

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Graph-based statistical arbitrage with machine learning classifiers. Problem types: Classification, Time Series Forecasting, Portfolio Optimization, Pairs Trading.

arXiv:2406.10695 · Paper rankings

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