Conceptio › Archive › arXiv (All)
arXiv (All) open access

Amortized Neural Filtering for Calibrated Posteriors in Statistical Arbitrage

Chang, Minkey
arXiv (All) · Papers
Open Source ↗Direct PDF ↓
62f1562m20g-3general-financei-2-6j-4risk-managementstatistical-finance
Statistical arbitrage trades on an estimate of the state of a residual spread, and conventional practice discards the uncertainty of that estimate. We keep the uncertainty and use it in the trading decision. A Neural Filter Estimator (NFE) is trained on simulated paths of a mean-reverting process wh
Conceptio Open Archive

Analyze & explore related research in Conceptio

Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.

This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗

Related documents

Record · ID 1403230
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive