Discussion Paper No. 127
Identify Arbitrage Using Machine Learning on
Multi-stock Pair Trading Price Forecasting
Zhijie Zhang

July, 2022

Data Science and Service Research
Discussion PaperCenter for Data Science and Service Research

Graduate School of Economic and Management
Tohoku University27-1 Kawauchi, Aobaku

Sendai 980-8576, JAPAN012343512678
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"#$7$56%*&(+&/)*$5*#)*6(+$7*#$5)'$5*7)*$<9E0123F=*#$)((6)%'6%*&,%&$7GAGHIJKL&5%-@$7*#)(*#$,7$+&/*$+M)%6$45GANKLOKP=*#$&',7-M$'$(*-(*#$,7-,-5$+)%<-7&*#')%-(<&5GGAPNQA3(+0#)7,$7)*&--.NANR5#-@5*#&5&57&5?&$7*#)(,7-,-5$+5-%6*&-(A0123456789 367347 6 7 53 63733 763576!34 36634"76"3647 653373#7$$ "67%356!"66376 &% " 463' " 7(3&)7674673 3' 677 673&37 76 7
463' 3 76&63"57  3"!7 6& 36634 53 '537&%*3734"!7675+%346&3&3&3763+347667
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54467675"77 6777+33576"7 '6%7677 3&!
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 673&3  &' 7737%7+ 7 3"7 533 &65& 6 3
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