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

Versione 1.3.0.0 (143 KB) da Attilio Meucci
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
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8,1K download
Aggiornato 9 mag 2011

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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 (2025). 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. Recuperato .

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MultivariateOUnCointegration/Empirical/

MultivariateOUnCointegration/Theory/

Versione Pubblicato Note della release
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