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20072026
most citedFlexible least squares for temporal data mining and statistical arbitrage

54 citations · 55 across the 4 of their papers we have counts for

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Showing 2008Show all

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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…