Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
<|reference_start|>Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization: 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.<|reference_end|>
@article{johansson2024finding,
    title={Finding Moving-Band Statistical Arbitrages via Convex-Concave
  Optimization},
    author={Kasper Johansson and Thomas Schmelzer and Stephen Boyd},
    journal={arXiv preprint arXiv:2402.08108},
    year={2024},
    archivePrefix={arXiv},
    eprint={2402.08108},
    primaryClass={econ.EM cs.LG q-fin.PM}
}