Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market
Adam Korniejczuk, Robert Ślepaczuk
| Year of publication: |
2024
|
|---|---|
| Authors: | Korniejczuk, Adam ; Ślepaczuk, Robert |
| Publisher: |
Warsaw : University of Warsaw, Faculty of Economic Sciences |
| Subject: | graph clustering algorithms | statistical arbitrage | algorithmic investment strategies | pair trading strategy | Kelly criterion | machine learning | risk adjusted returns | Algorithmus | Algorithm | Arbitrage | Portfolio-Management | Portfolio selection | Graphentheorie | Graph theory | Wertpapierhandel | Securities trading | Künstliche Intelligenz | Artificial intelligence | Anlageverhalten | Behavioural finance | Clusteranalyse | Cluster analysis | Kapitaleinkommen | Capital income |
freely available
| Extent: | 1 Online-Ressource (circa 47 Seiten) Illustrationen |
|---|---|
| Series: | Working papers. - Warsaw : [Faculty of Economic Sciences, University of Warsaw], ISSN 2957-0506, ZDB-ID 2890271-3. - Vol. no. 2024, 9 = 445 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014634696