A tree-based graph neural network predicts put-call parity deviations in KOSPI 200 options, and a constrained synthetic long-short arbitrage projection turns those predictions into positive-P&L positions with zero terminal payoff.
(2022) Deep learning meets statistical arbitrage: An application of long short-term memory networks to algorithmic trading
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Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions
A tree-based graph neural network predicts put-call parity deviations in KOSPI 200 options, and a constrained synthetic long-short arbitrage projection turns those predictions into positive-P&L positions with zero terminal payoff.