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A new method for estimating Sharpe ratio function via local maximum likelihood 期刊论文
JOURNAL OF APPLIED STATISTICS, 2022, 页码: 19
Authors:  Xu, Wenchao;  Lin, Hongmei;  Tong, Tiejun;  Zhang, Riquan
Favorite  |  View/Download：24/0  |  Submit date：2023/02/07
Direct method  heteroscedastic non-parametric regression  joint limiting distribution  local polynomial smoothing  Sharpe ratio function  
Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy 期刊论文
COMPUTATIONAL ECONOMICS, 2021, 页码: 22
Authors:  Zhan, Baoqiang;  Zhang, Shu;  Du, Helen S.;  Yang, Xiaoguang
Favorite  |  View/Download：75/0  |  Submit date：2022/04/02
Statistical arbitrage  Cointegration  Machine learning  Opportunities exploration  
Direct local linear estimation for Sharpe ratio function 期刊论文
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2021, 页码: 23
Authors:  Lin, Hongmei;  Tong, Tiejun;  Wang, Yuedong;  Xu, Wenchao;  Zhang, Riquan
Favorite  |  View/Download：68/0  |  Submit date：2022/04/02
Heteroscedasticity  local likelihood estimation  local linear regression  nonparametric regression  Sharpe ratio function