Philippe Casgrain

University of Toronto - Department of Statistics

100 St George Street

Toronto, Ontario M5S 3G8

Canada

  • University of Toronto - Department of Statistics

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Trading Algorithms with Learning in Latent Alpha Models

Number of pages: 42 Posted: 19 Nov 2016 Last Revised: 21 Dec 2017
Philippe Casgrain and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
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Algorithmic Trading, Statistical Arbitrage, Latent Alpha, Stochastic Control, Machine Learning