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 |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008925143