Concept
Statistical arbitrage
Related publications (13)
Conditional Synthetic Financial Time Series with Generative Adversarial Networks
The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...
2022Three Essays on Asset Pricing
In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...
EPFL2014