Identifying Small Mean Reverting Portfolios - An Analysis (Part 3, with code)
In this part we code up greedy search and look at some other methods to find (almost) optimal mean reverting portfolios
Part 2: https://vertox.substack.com/p/identifying-small-mean-reverting-a8e
Part 1: https://vertox.substack.com/p/identifying-small-mean-reverting
Research Paper: https://arxiv.org/pdf/0708.3048.pdf