Statistical arbitrage research clusters into a few durable questions: how to find related instruments, how to model the spread, how to time entries, and how to survive the strategy’s known decay. This map organizes the archive’s stat-arb papers along those lines, ranked by our rigor-weighted score. Read it with the stat-arb evaluation lens: the classic distance method famously decayed post-2000s, so sample period is the first thing to check in every branch below.
flowchart TD ROOT["Statistical-Arbitrage Research<br>93 papers"] ROOT --> S0["Pairs & cointegration<br>26 papers"] ROOT --> S1["Mean-reversion signals<br>45 papers"] ROOT --> S2["ML-driven stat arb<br>8 papers"] ROOT --> S3["Crypto & cross-venue<br>4 papers"] ROOT --> S4["Execution & capacity<br>2 papers"]
93 papers mapped · ranked by rigor-weighted score · regenerated automatically as the daily pipeline scores new papers.
Pairs & cointegration
The classical core: finding and modeling co-moving pairs.
- Statistical arbitrage portfolio construction based on preference relations — Holy Grail, rigor 8.5
- Statistical Arbitrage in Polish Equities Market Using Deep Learning Techniques — Holy Grail, rigor 8.5
- Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management — Holy Grail, rigor 8.0
- Copula-Based Trading of Cointegrated Cryptocurrency Pairs — Holy Grail, rigor 8.0
- Price Discovery in Cryptocurrency Markets — Holy Grail, rigor 7.5
- Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics — Holy Grail, rigor 7.0
- …and 20 more in the pairs & cointegration area
Mean-reversion signals
Spread construction and reversion timing beyond simple pairs.
- RAmmStein: Regime Adaptation in Mean-reverting Markets with Stein Thresholds – Optimal Impulse Control in Concentrated AMMs — Holy Grail, rigor 8.5
- Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX — Holy Grail, rigor 8.5
- Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics — Holy Grail, rigor 7.5
- Amortized Neural Filtering for Calibrated Posteriors in Statistical Arbitrage — Holy Grail, rigor 8.0
- A Mean-Reverting Model of Exchange Rate Risk Premium Using Ornstein-Uhlenbeck Dynamics — Holy Grail, rigor 8.0
- The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles — Holy Grail, rigor 7.5
- …and 39 more in the mean-reversion signals area
ML-driven stat arb
Learned similarity, embeddings, and nonlinear spread models.
- Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market — Holy Grail, rigor 7.5
- Harnessing Deep Q-Learning for Enhanced Statistical Arbitrage in High-Frequency Trading: A Comprehensive Exploration — Holy Grail, rigor 7.5
- Is the difference between deep hedging and delta hedging a statistical arbitrage? — Holy Grail, rigor 8.0
- Machine Learning-based Relative Valuation of Municipal Bonds — Holy Grail, rigor 8.0
- Hybrid Quantum-Classical Ensemble Learning for S&P 500 Directional Prediction — Holy Grail, rigor 7.2
- Reinforcement Learning Pair Trading: A Dynamic Scaling approach — Holy Grail, rigor 7.0
- …and 2 more in the ml-driven stat arb area
Crypto & cross-venue
Stat arb where the venues are the anomaly.
- Automated Market Making and Decentralized Finance — Holy Grail, rigor 8.0
- Decentralised Finance and Automated Market Making: Execution and Speculation — Holy Grail, rigor 7.0
- Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage — Holy Grail, rigor 6.0
- CTBench: Cryptocurrency Time Series Generation Benchmark — Street Traders, rigor 6.0
Execution & capacity
Turning spreads into fills without eating the edge.
- On a fundamental statistical edge principle — Lab Rats, rigor 4.0
- Pricing and Hedging Financial Derivatives in Merger&Acquisition Deals with Price Impact — Lab Rats, rigor 3.0
Evaluation lens for this field: see the guides index · Full hub: /topics/statistical-arbitrage/