Online Learning Algorithms for Statistical Arbitrage

Christopher Mohri

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arXiv · 1811.00200

Online Learning Algorithms for Statistical Arbitrage

Christopher Mohri

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Abstract

Statistical arbitrage is a class of financial trading strategies using mean reversion models. The corresponding techniques rely on a number of assumptions which may not hold for general non-stationary stochastic processes. This paper presents an alternative technique for statistical arbitrage based on online learning which does not require such assumptions and which benefits from strong learning guarantees.

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Christopher Mohri. 2018-11-01. Online Learning Algorithms for Statistical Arbitrage. https://arxiv.org/abs/1811.00200

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