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Quantitative Finance Volume 11, 2011 - Issue 3
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Research Papers

Identifying small mean-reverting portfolios

Alexandre D'Aspremont ORFE, Princeton University, Princeton, NJ 08544, USACorrespondence[email protected]
Pages 351-364 | Received 25 Mar 2009, Accepted 19 Mar 2010, Published online: 19 Oct 2010

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T. Griveau-Billion & B. Calderhead. (2021) Efficient computation of mean reverting portfolios using cyclical coordinate descent. Quantitative Finance 21:4, pages 673-684.
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Sergey Isaenko. (2018) Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations. Quantitative Finance 18:12, pages 2051-2065.
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Paul Docherty, Yizhe Dong, Xiaojing Song & Mark Tippett. (2018) The Feller diffusion, filter rules and abnormal stock returns. The European Journal of Finance 24:5, pages 426-438.
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Jordan Mann & J. Nathan Kutz. (2016) Dynamic mode decomposition for financial trading strategies. Quantitative Finance 16:11, pages 1643-1655.
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