Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage.
Salvatore M. CartaSergio ConsoliAlessandro Sebastian PoddaDiego Reforgiato RecuperoMaria Madalina StanciuPublished in: IEEE Access (2021)
Keyphrases
- portfolio management
- dynamic environments
- dynamically select
- data driven
- risk management
- risk averse
- financial markets
- statistical analysis
- case study
- social networks
- information theoretic
- statistical methods
- data sets
- stock price
- selection strategy
- statistical inference
- high risk
- dynamically changing
- decision making