Harnessing Deep Q-Learning for Enhanced Statistical Arbitrage in High-Frequency Trading: A Comprehensive Exploration
“Through extensive simulations and backtests, our research reveals that RL not only enhances the adaptability of trading strategies but also shows promise in improving profitability metrics and risk-adjusted returns.”
StrategyPairs trading
TechniqueReinforcement learning
FrequencyIntraday
ClaimExcess returnprofit
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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