Deep Learning Statistical Arbitrage
AdvancedLFTEmpiricalFree to readTestable with your data
Builds residual portfolios, extracts mean-reversion signals with a CNN-transformer and optimises allocation end to end.
At a glance
- Level
- Advanced: Stochastic control, point processes, heavy econometrics or deep learning
- Horizon
- LFT
- Data needed
- Daily bars Set what data you have
- Themes
- Stat arbMachine learning
- Assets
- Equities
- Market
- US