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
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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. 검색 날짜: .

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