Trading Algorithms with Learning in Latent Alpha Models
Trading Algorithms with Learning in Latent Alpha Models is a scholarly work, published in 2018 in ''Mathematical Finance''. The main subjects of the publication include Alliance-Union universe, expectation–maximization algorithm, Statistical arbitrage, econometrics, arbitrage, latent variable, artificial intelligence, artificial neural network, mathematical optimization, Pairs trade, econophysics, machine learning, market forecast, trading strategy, and computer science. The paper analyzes how to optimally trade with latent factors that cause prices to jump and diffuse.