1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.ST2024
Advanced Statistical Arbitrage with Reinforcement Learning
Boming Ning, Kiseop Lee
Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on mode…
q-fin.CP2023★ 1 cited
Optimal Entry and Exit with Signature in Statistical Arbitrage
Boming Ning, Prakash Chakraborty, Kiseop Lee
In this paper, we explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping framework is formulat…