Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

버전 1.3.0.0 (143 KB) 작성자: Attilio Meucci
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
4.0
(2)
다운로드 수: 8.1K
업데이트 날짜: 2011/5/9

라이선스 보기

To walk through the code and for a thorough description, refer to
A. Meucci (2009) , "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck",

Latest version of article and code available at http://symmys.com/node/132

인용 양식

Attilio Meucci (2024). Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck (https://www.mathworks.com/matlabcentral/fileexchange/24120-review-of-statistical-arbitrage-cointegration-and-multivariate-ornstein-uhlenbeck), MATLAB Central File Exchange. 검색됨 .

MATLAB 릴리스 호환 정보
개발 환경: R2006b
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

MultivariateOUnCointegration/Empirical/

MultivariateOUnCointegration/Theory/

버전 게시됨 릴리스 정보
1.3.0.0

updated references
1.2.0.0

Added trading signals based on z-score bands and expected time before cashing in on trades
1.1.0.0

updated documentation link
1.0.0.0