Correlation Matrix Clustering for Statistical Arbitrage Portfolios
“We explore five clustering algorithms and demonstrate that our proposed framework generates profitable trading strategies with over 10% annualized returns and statistically significant Sharpe ratios above one.”
AssetEquities
StrategyPairs tradingshort-term reversal
ClaimSharpe ratioprofit
Missing from abstract: benchmark, out-of-sample test, costs, 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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