Statistical Arbitrage in Polish Equities Market Using Deep Learning Techniques
“All methods yield profits in 2017-2019, with PCA achieving roughly 20 percent cumulative return and an annualized Sharpe ratio of up to 2.63.”
AssetEquitiesETFs, indices
StrategyPairs tradingshort-term reversal
TechniqueRecurrent neural networkfeedforward network
GeographyUS
Also stated: Annual, 2017–2019, Sharpe ratio, Profit, Long-short, benchmark, costs
Missing from abstract: 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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