Attention Factors for Statistical Arbitrage
“In a comprehensive empirical study we show that our Attention Factor model achieves an out-of-sample Sharpe ratio above 4 on the largest U.S. equities over a 24-year period.”
AssetEquities
StrategyPairs trading
TechniqueLinear factor model
GeographyUS
Also stated: Sharpe ratio, Profit, out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
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