Statistical arbitrage using cointegration and principal component analysis approach
Year of publication: |
2022
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Authors: | Bartkoviak, Oleksandr ; Shpyrko, Viktor ; Chernyak, Oleksandr ; Chernyak, Yevgen |
Published in: |
Business Development and Economic Governance in Southeastern Europe : 13th International Conference on the Economies of the Balkan and Eastern European Countries (EBEEC), Pafos, Cyprus, 2021. - Cham : Springer International Publishing, ISBN 978-3-031-05351-1. - 2022, p. 167-182
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Subject: | Cointegration | Ornstein-Uhlenbeck process | PCA | Statistical arbitrage | Arbitrage | Kointegration | Theorie | Theory | Statistische Methode | Statistical method | Zeitreihenanalyse | Time series analysis | Hauptkomponentenanalyse | Principal component analysis | Statistische Methodenlehre | Statistical theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz im Buch ; Book section ; Konferenzbeitrag ; Conference paper |
Language: | English |
Other identifiers: | 10.1007/978-3-031-05351-1_9 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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