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

Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation

Versione 1.3.0.0 (143 KB)
8,1K download
(2)
9 mag 2011

Al momento, stai seguendo questo contributo

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

Cita come

Attilio Meucci (2026). Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck (https://it.mathworks.com/matlabcentral/fileexchange/24120-review-of-statistical-arbitrage-cointegration-and-multivariate-ornstein-uhlenbeck), MATLAB Central File Exchange. Recuperato .

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