conftrace_

statistical arbitrage

2 papers

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Co-occurring keywords · papers mentioning both

variance threshold (1) mean reversion (1) portfolio optimization (1) regret bound (1) online convex optimization (1) convex optimization (1) semidefinite programming (1) online learning (1) adversarial learning (1)

Papers

Online Learning for Adversaries with Memory: Price of Past Mistakes NeurIPS 2015 Mean Reversion with a Variance Threshold ICML 2013