Guijarro-Ordonez, Jorge; Pelger, Markus; Zanotti, Greg - 2021
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 …