Detecting data-driven robust statistical arbitrage strategies with deep neural networks

arXiv:2203.03179v4 Announce Type: replace-cross
Abstract: We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies refer to trading strategies that enable profitable trading under model ambiguity. The presented novel methodology allows to consider a large amount of underlying securities simultaneously and does not depend on the identification of cointegrated pairs of assets, hence it is applicable on high-dimensional financial markets or in markets where classical pairs trading …

abstract arxiv cs.lg data data-driven financial financial markets markets methodology networks neural networks novel q-fin.cp q-fin.mf q-fin.st q-fin.tr robust statistical strategies trading type