3 papers
math.CO2021
Ratio sets of random sets
Javier Cilleruelo, Jorge Guijarro-Ordonez
We study the typical behavior of the size of the ratio set for a random subset . For example, we prove that $|A/A|\sim \frac{2\text{Li}_2(3/4)}{π^2}…
cs.LG2021
Deep Learning Statistical Arbitrage
Jorge Guijarro-Ordonez, Markus Pelger, Greg Zanotti
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solut…
q-fin.MF2019
High-dimensional statistical arbitrage with factor models and stochastic control
Jorge Guijarro-Ordonez
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strat…