cvxstatarb

This code repository accompanies two papers:

• Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization
• A Markowitz Approach to Managing a Dynamic Basket of Moving-Band Statistical Arbitrages

Poetry

We assume you share already the love for Poetry. Once you have installed poetry you can perform

make install

to replicate the virtual environment we have defined in pyproject.toml and locked in poetry.lock.

Jupyter

We install JupyterLab on fly within the aforementioned virtual environment. Executing

make jupyter

will install and start the jupyter lab.

Citation

If you want to reference our work in your research, please consider using the following BibTeX for the citations:

@article{johansson2024finding,
  author    = {K. Johansson and T. Schmelzer and S. Boyd},
  title     = {Finding moving-band statistical arbitrages via convex--concave optimization},
  journal   = {Optimization and Engineering},
  year      = {2024},
  doi       = {10.1007/s11081-024-09933-0},
}

and

@article{johansson2024basket,
  author       = {K. Johansson and T. Schmelzer and S. Boyd},
  title        = {A Markowitz Approach to Managing a
                  Dynamic Basket of Moving-Band Statistical Arbitrages},
  journal      = {arXiv preprint arXiv:2412.02660},
  year         = {2024},
  doi          = {10.48550/arXiv.2412.02660}
}