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Statistical Arbitrage for Multiple Co-integrated Stocks

Thomas Nanfeng Li1, Andrew Papanicolaou2

  • 1Department of Mathematics, New York University, 251 Mercer Street, New York, 10012 NY USA.

Applied Mathematics and Optimization
|June 13, 2022
PubMed

Keywords:
Co-integrated stocksEigenportfolioFactor modelMarket-neutral portfolioMatrix Riccati equationOptimisationStatistical arbitrageStochastic control

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