Pairs Trading Using Clustering and Deep Reinforcement Learning
A 2023 paper by Roychoudhury, Bhagtani and Daftari on pairs trading and statistical arbitrage in equities, using a feedforward neural network: the abstract mentions a Sharpe ratio, alpha and profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“From the period starting from April 2017 to December 2022, our best performing strategy consisting of the NASDAQ Composite and MSCI World IT Index earns an annualized return of 21.86% with a Sharpe ratio of 1.15, while generating an alpha of 20%.”
AssetEquities
StrategyPairs tradingshort-term reversal
TechniqueFeedforward networkconvolutional network
GeographyUS
Also stated: Sharpe ratio, Alpha, Profit, Fundamentals
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 | ||||
| End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture by Krause and Calliess | 2024 | ||||
| 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 |