Forex statistical arbitrage models. Abstract. This paper proposes an intelligent combination of neural network theory and fi- nancial statistics for the detection of statistical arbitrage opportunities in specific pairs of stocks. The proposed intelligent methodology is based on a class of neural network-GARCH autoregressive models for the effective handling of the.

Forex statistical arbitrage models

"Basic Statistical Arbitrage: Understanding the Math Behind Pairs Trading" by Max Margenot

Forex statistical arbitrage models. Nov 28, - This article on FX Market Pairs Trading strategy is submitted by the author as part of his coursework in EPAT at QuantInsti. Implementing Pairs Trading/Statistical Arbitrage Strategy In FX Markets: EPAT Project Work. On November . The model ignored the bid-ask spread while placing buy or sell orders.

Forex statistical arbitrage models


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