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cs.LG2025
Attention Factors for Statistical Arbitrage
Elliot L. Epstein, Rose Wang, Jaewon Choi +1
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and…
cs.LG2025
SD-KDE: Score-Debiased Kernel Density Estimation
Elliot L. Epstein, Rajat Dwaraknath, Thanawat Sornwanee +2
We propose a novel method for density estimation that leverages an estimated score function to debias kernel density estimation (SD-KDE). In our approach, each data point is adjust…