Optimal Entry and Exit with Signature in Statistical Arbitrage
“A sequential optimal stopping framework is formulated to analyze the optimal timings for both entering and subsequently liquidating positions, all while considering the impact of transaction costs.”
StrategyPairs tradingmarket timing
TechniqueMathematical derivation
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, 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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