Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
“Amalgamation of quantitative and machine learning methods, including the Kelly criterion, and an ensemble of machine learning classifiers have been used to improve risk-adjusted returns and increase immunity to transaction costs over existing approaches.”
AssetEquities
StrategyPairs trading
GeographyUS
FrequencyDaily
Also stated: Excess return, Profit, 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
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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