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统计套利策略

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RL_StatArb_Replication_Russell3000 is the public replication package for the paper: “The Limits of Reinforcement Learning in Statistical Arbitrage: A Large-Universe Benchmark Against Classical Mean R

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The expected return of optimal statistical arbitrage of Berkshire A and replicating asset pair.

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The expected return of optimal statistical arbitrage of Berkshire A and replicating asset pair.

Figshare2021-01-15 更新10

The expected return of optimal statistical arbitrage of S&P 500 and replicating asset pair.

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The expected return of optimal statistical arbitrage of S&P 500 and replicating asset pair.

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