Online Learning Algorithms for Statistical Arbitrage

11/01/2018

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by   Christopher Mohri, et al.

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Statistical arbitrage is a class of financial trading strategies using mean reversion models. The corresponding techniques rely on a number of assumptions which may not hold for general non-stationary stochastic processes. This paper presents an alternative technique for statistical arbitrage based on online learning which does not require such assumptions and which benefits from strong learning guarantees.