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Advanced statistical arbitrage with reinforcement learning
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AI
DOI：10.1142/S2424786325500197.png)
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摘要
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Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on model assumption. In this study, we introduce an innovative model-free and reinforcement learning (RL)-based framework for statistical arbitrage. For the construction of mean reversion spreads, we establish an empirical reversion time metric and optimize asset coefficients by minimizing this empirical mean reversion time. In the trading phase, we employ an RL framework to identify the optimal mean reversion strategy. Diverging from traditional mean reversion strategies that primarily focus on price deviations from a long-term mean, our methodology creatively constructs the state space to encapsulate the recent trends in price movements. Additionally, the reward function is carefully tailored to reflect the unique characteristics of mean reversion trading.
Keyword:
Statistical arbitrage
mean reversion trading
empirical mean reversion time
reinforcement learning
期刊
I
IF:
0.6
论文数:
40
被引数:
0
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