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- W1845883509 abstract "This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection methodologies include K-means clustering, graphical lasso and a combination of the two. Our results show that clustering appears to yield better candidate portfolios on average than naively using graphical lasso over the entire equity pool. A hybrid approach of using the combination of graphical lasso and clustering yields better results still. We also examine the effects of an adaptive approach during the trading period, by re-computing potential portfolios once to account for change in relationships with passage of time. However, the adaptive approach does not produce better results than the one without re-learning. Our results managed to pass the test for the presence of statistical arbitrage test at a statistically significant level. Additionally we were able to validate our findings over a separate dataset for formation and trading periods." @default.
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- W1845883509 date "2014-05-10" @default.
- W1845883509 modified "2023-09-27" @default.
- W1845883509 title "A Multi-factor Adaptive Statistical Arbitrage Model" @default.
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