Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage.

Fri, 01 Jan 2021 00:00:00 +0100

Salvatore M. Carta , Sergio Consoli , Alessandro Sebastian Podda , Diego Reforgiato Recupero , Maria Madalina Stanciu :
Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage. IEEE Access 9: 29942-29959 (2021)