Literature

My own ideas

1. Vecchia approximation on factor-model residuals
   Using Vecchia approximation on factor model residuals to find pair relationships, e.g. correlation based clustering on the residuals.
2. Sector-wide basket long/short
   Forming a sector wide long-short on baskets within the sector, e.g. long/short on the highest and lowest sector-neutral momentum across all the sectors, per-sector, or a basket long/short on the percentile performers within a sector.

Papers

The papers collected for this project so far, most recent first.

1. Pairs Trading in Crypto
   Stoikov, Xu, Shao, Wang, Zhang and Hu, 2025. Cornell.
2. A Survey of Statistical Arbitrage Pair Trading with Machine Learning, Deep Learning, and Reinforcement Learning Methods
   Yufei Sun, 2025. University of Warsaw.
3. Is Pairs Trading a Thing of the Past?
   Jesus Villota-Miranda, 2025. CEMFI.
4. Machine Learning for Pairs Trading: a Clustering-based Approach
   Francesco Rotondi and Federico Russo, 2025. Bocconi.
5. Statistical Arbitrage in Multi-pair Trading Strategy Based on Graph Clustering Algorithms in US Equities Market
   Adam Korniejczuk and Robert Ślepaczuk, 2024. University of Warsaw.
6. Pairs Trading Using a Novel Graphical Matching Approach
   Khizar Qureshi and Tauhid Zaman, 2024. MIT and Yale.
7. Pairs Trading via Unsupervised Learning
   Chulwoo Han, Zhaodong He and Alenson Jun Wei Toh, 2023. European Journal of Operational Research.
8. Deep Learning Statistical Arbitrage
   Jorge Guijarro-Ordonez, Markus Pelger and Greg Zanotti, 2022. Stanford.
9. Pairs Trading: Performance of a Relative Value Arbitrage Rule
   Evan Gatev, William Goetzmann and K. Geert Rouwenhorst, 1998. Yale.