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

Versión 1.3.0.0 (143 KB) por Attilio Meucci
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
4.0
(2)
8,1K descargas
Actualizado 9 may 2011

Ver licencia

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

Citar como

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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2006b
Compatible con cualquier versión
Compatibilidad con las plataformas
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/

Versión Publicado Notas de la versión
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