54 citations · 54 across the 2 of their papers we have counts for
2 papers
q-fin.TR2008
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Theodoros Tsagaris
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of termin…
q-fin.ST2007★ 54 cited
Flexible least squares for temporal data mining and statistical arbitrage
Giovanni Montana, Kostas Triantafyllopoulos, Theodoros Tsagaris
A number of recent emerging applications call for studying data streams, potentially infinite flows of information updated in real-time. When multiple co-evolving data streams are…