Fischer, Thomas Günter; Krauss, Christopher; Deinert, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/31, pp. 1-15
Machine learning research has gained momentum-also in finance. Consequently, initial machine-learning-based statistical … arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013 …); Moritz and Zimmermann (2014); Krauss et al. (2017). With our paper, we pose the question how such a statistical arbitrage …