Tuesday, September 7th @ 11:00-12:30 PM (ONLINE)
Deep Learning Statistical Arbitrage
Markus Pelger, Stanford University
ABSTRACT: Statistical arbitrage identifies and exploits temporal price differences between similar assets. We propose a unifying conceptual framework for statistical arbitrage and develop a novel deep learning solution, which finds commonality and time-series patterns from large panels in a data-driven and flexible way. First, we construct arbitrage portfolios of similar assets as...