2 papers
q-fin.TR2024
End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture
Fabian Krause, Jan-Peter Calliess
In Statistical Arbitrage (StatArb), classical mean reversion trading strategies typically hinge on asset-pricing or PCA based models to identify the mean of a synthetic asset. Once…
math.OC2023
Lipschitz Interpolation: Non-parametric Convergence under Bounded Stochastic Noise
Julien Walden Huang, Stephen Roberts, Jan-Peter Calliess
This paper examines the asymptotic convergence properties of Lipschitz interpolation methods within the context of bounded stochastic noise. In the first part of the paper, we esta…