Statistical arbitrage using cointegration and principal component analysis approach

Oleksandr Bartkoviak, Viktor Shpyrko, Oleksandr Chernyak, and Yevgen Chernyak

Year of publication:	2022
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
Subject:	Cointegration \| Ornstein-Uhlenbeck process \| PCA \| Statistical arbitrage \| Kointegration \| Arbitrage \| Theorie \| Theory \| Hauptkomponentenanalyse \| Principal component analysis \| Zeitreihenanalyse \| Time series analysis \| Statistische Methodenlehre \| Statistical theory \| Mean Reversion \| Mean reversion

Type of publication:	Article
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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013413520