The Statistical Limit of Arbitrage
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https://www.nber.org/papers/w33070
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资源简介：
We investigate the economic consequences of statistical learning for arbitrage pricing in a high-dimensional setting. Arbitrageurs learn about alphas from historical data. When alphas are weak and rare, estimation errors hinder arbitrageurseven those employing optimal machine learning techniquesfrom
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美国国家经济研究局创建时间：
2024-10-01
