---
title: Convergence Risk Statistical Arbitrage
url: https://www.ml-quant.com/papers/ssrn/5146270/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5146270
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5146270
featured: 2025-03-05
citations: unknown
topic: Trading, Microstructure & Execution
---


# Convergence Risk Statistical Arbitrage

The authors suggest a modified generalized smooth-transition (MGST) function to estimate pair-specific convergence risk in statistical arbitrage, showing higher cumulative return and Sharpe Ratio net of transaction costs.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5146270
- Identifier: SSRN 5146270
- Released: 2025-02-20
- First featured: Quant Letter No. 87 (2025-03-05): https://www.ml-quant.com/issues/2025-03-05/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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