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I think this would be the paper behind his algorithm: http://crab.rutgers.edu/~dhong/Papers/fBm2014.pdf http://crab.rutgers.edu/~dhong/Papers/fBm2014.pdf
by crb002 9y ago
I think this would be the paper behind his algorithm: http://crab.rutgers.edu/~dhong/Papers/fBm2014.pdf http://crab.rutgers.edu/~dhong/Papers/fBm2014.pdf
- crb002 9y agoOr this one: https://arxiv.org/pdf/cs/0605067.pdf https://arxiv.org/pdf/cs/0605067.pdf Find non-diversified asset pools based on mutual information of prices. Avoid too much exposure to any pocket, but do arbitrage within a pocket.