This is a summary of links featured on Quantocracy on Monday, 05/24/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Machine Learning Based Statistical Arbitrage [Jonathan Kinlay]Applying Machine Learning in Statistical Arbitrage In this series of posts I want to focus on applications of machine learning in stat arb and pairs trading, including genetic algorithms, deep neural networks and reinforcement learning. Pair Selection Lets begin with the subject of pairs selection, to set the scene. The way this is typically handled is by looking at historical correlations and