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"Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization."
Kasper Johansson, Thomas Schmelzer, Stephen Boyd (2024)
- Kasper Johansson, Thomas Schmelzer, Stephen Boyd:
Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization. CoRR abs/2402.08108 (2024)
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