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Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy |
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| Authors: | Zhan Baoqiang Zhang Shu Du Helen S. Yang Xiaoguang |
| Affiliation: | 1.School of Management, Harbin Institute of Technology, Harbin, China ;2.School of Management, Guangdong University of Technology, Guangzhou, China ;3.Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China ; |
| Abstract: | Computational Economics - Arbitrage opportunity exploration is important to ensure the profitability of statistical arbitrage. Prior studies that concentrate on cointegration model and other... |
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