On LASSO for Predictive Regression
“In the presence of stationary, local unit root, and cointegrated predictors, we show that the adaptive LASSO cannot asymptotically eliminate all cointegrating variables with zero regression coefficients.”
StrategyPairs trading
ClaimExcess 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 | |
|---|---|---|---|---|---|
| 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 | ||||
| Pairs Trading: A Change Point Perspective by Dou et al. | 2026 | ||||
| Robust Currency Cointegration using Bayesian Optimization by Lo et al. | 2026 | ||||
| Regime-Aware Statistical Arbitrage: Rolling Cointegration with Dynamic Volatility Targeting in the S&P 100 by Wong | 2026 | ||||
| GARCH-LSTM Long/Short Pair Trading Strategies on ETH/BTC pair by Ogwuche et al. | 2026 |