Seminar 217, Risk Management: "Deep Learning Statistical Arbitrage" (Online)
Risk Seminar
Sep 7, 2021, 11:00 AM - 12:30 PM | Online via Zoom | Happening As Scheduled
Markus Pelger, Stanford University (Speaker - Featured)
ABSTRACT: Statistical arbitrage identifies and exploits temporal price differences between similar assets. We propose a unifying conceptual framework for statistical arbitrage and develop a novel deep learning solution, which finds commonality and time-series patterns from large panels in a data-driven and flexible way. First, we construct arbitrage portfolios of similar assets as resid- ual...