arXivTrading, Microstructure & Execution
Statistical arbitrage portfolio construction based on preference relations
The article suggests a new method for portfolio construction using preference relation graphs, which can improve the performance of statistical arbitrage methods by reconciling contradictory trading signals.
Featured in No. 22 on 18 Oct 2023 · 6 days after release · 1 citation today · published in Expert Syst. Appl.
- Released
- 12 Oct 2023
- First featured
- No. 22 · 18 Oct 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Expert Syst. Appl.
- Shares when featured
- 6
- Identifier
- doi:10.1016/j.eswa.2023.121906
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