2024/02/12 by Kasper Johansson, Johansson, Kasper, Thomas M. Schmelzer +3
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Portfolio Management (q-fin.PM) #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.2402.08108
openalex publication_date 2024/02/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band and a leverage limit. This optimization problem is not convex, but can be approximately solved using the convex-concave procedure, a specific sequential convex programming method. We show how the method generalizes to finding moving-band statistical arbitrages, where the price band midpoint varies over time.