Dynamic modeling of mean-reverting spreads for statistical arbitrage
Year of publication: |
2011
|
---|---|
Authors: | Triantafyllopoulos, K. ; Montana, G. |
Published in: |
Computational Management Science. - Springer. - Vol. 8.2011, 1, p. 23-49
|
Publisher: |
Springer |
Subject: | Mean reversion | Statistical arbitrage | Pairs trading | State space model | Time-varying autoregressive processes | Dynamic regression | Bayesian forecasting |
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