Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866913233460264960 |
|---|---|
| author | Johansson, Kasper Schmelzer, Thomas Boyd, Stephen |
| author_facet | Johansson, Kasper Schmelzer, Thomas Boyd, Stephen |
| contents | We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band and a leverage limit. This optimization problem is not convex, but can be approximately solved using the convex-concave procedure, a specific sequential convex programming method. We show how the method generalizes to finding moving-band statistical arbitrages, where the price band midpoint varies over time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_08108 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization Johansson, Kasper Schmelzer, Thomas Boyd, Stephen Econometrics Machine Learning Portfolio Management We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band and a leverage limit. This optimization problem is not convex, but can be approximately solved using the convex-concave procedure, a specific sequential convex programming method. We show how the method generalizes to finding moving-band statistical arbitrages, where the price band midpoint varies over time. |
| title | Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization |
| topic | Econometrics Machine Learning Portfolio Management |
| url | https://arxiv.org/abs/2402.08108 |