TL;DR本文分析了如何通过学习潜在因素的后验分布来解决隐含最优交易问题,提出了一种 EM 算法的变体来校准模型,演示了此最优策略的性能和与忽略学习的策略的比较。
Abstract
Alpha signals for statistical arbitrage strategies are often driven by latent
factors. This paper analyses how to optimally trade with latent factors that
cause prices to jump and diffuse. Moreover, we account fo