End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture
A 2024 paper by Krause and Calliess on pairs trading and statistical arbitrage in equities, using a feedforward neural network: the abstract mentions excess returns and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“This integration outputs portfolio allocations directly and is end-to-end trainable by backpropagation of the risk-adjusted returns of the neural policy.”
AssetEquities
StrategyPairs tradingshort-term reversal
TechniqueFeedforward network
GeographyUS
Also stated: Excess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
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
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Statistical Arbitrage in Polish Equities Market Using Deep Learning Techniques by Adamczyk and Dąbrowski | 2025 | ||||
| Pairs Trading Using Clustering and Deep Reinforcement Learning by Roychoudhury et al. | 2023 | ||||
| GARCH-LSTM Long/Short Pair Trading Strategies on ETH/BTC pair by Ogwuche et al. | 2026 | ||||
| A Regime-Aware, Free-Boundary Framework for Statistical Arbitrage: Kalman-Filtered Synthetic Baskets, EGARCH Volatility, Markov Regime Detection, and Optimal Stopping via Hamilton-Jacobi-Bellman by Bektas | 2026 | ||||
| AN EMPIRICAL ASSESSMENT OF PAIRS TRADING USING ENSEMBLE Q-LEARNING by Rayaprolu | 2026 |