High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions

By Zhaoxing Gao, Sihan Tu, Ruey Tsay

Published 2025-11-03

Everscope rating

1945.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Shrinkage Yule-Walker Estimation with Ridge Regularization. Problem types: Time Series Forecasting, Regression, Dimensionality Reduction, Portfolio Optimization, Risk Management.

arXiv:2511.01271 · Paper rankings

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