An LSTM-based optimization algorithm for enhancing quantitative arbitrage trading.

ABSTRACT: Arbitrage trading is a common quantitative trading strategy that leverages the long-term cointegration relationships between multiple related assets to conduct spread trading for profit. Specifically, when the cointegration relationship between two or more related series holds, it utilizes the stability and mean-reverting characteristics of their cointegration relationship for spread trading. However, in real quantitative trading, determining the cointegration relationship based on the Engle-Granger two-step method imposes stringent conditions for the cointegration to hold, which can easily be disrupted by price fluctuations or trend characteristics presented by the linear combination, leading to the failure of the arbitrage strategy and significant losses. To address this issue, this arti

SUBMITTER: Han G 

PROVIDER: S-EPMC11323094 | biostudies-literature | 2024

REPOSITORIES: biostudies-literature