Robust Statistical Arbitrage
Project Description
Developing a statistical arbitrage trading strategy that accounts for parameter uncertainty in mean-reversion models, ensuring stable performance under market noise.
Supervisor
QI, Jin
Quota
1
Course type
UROP1100
Applicant's Roles
1. Problem formulation
2. Mathematical modelling
3. Algorithm development
4. Simulation and backtesting
2. Mathematical modelling
3. Algorithm development
4. Simulation and backtesting
Applicant's Learning Objectives
1. Deepen knowledge of prescriptive analytics, and learn robust optimization.
2. Enhance mathematical and programming skills.
3. Gain practical problem solving skills.
2. Enhance mathematical and programming skills.
3. Gain practical problem solving skills.
Complexity of the project
Moderate