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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck 1.0
File ID: 79160






Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck 1.0
Download Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 143.4 KB
Downloads: 13
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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck 1.0 Description
Description: 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

License: Freeware

Related: ornsteinuhlenbeckquotlatest, multivariate, Version, Article, url dhttpsymmyscomnode httpsymmyscomnode url, cointegration, arbitrage, Description, Refer, meucci, Statistical, quotreview

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 143.4 KB

Downloads: 13



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To walk through the code and for a thorough description, see
Meucci A., "Review of Dynamic Allocation Strategies"

Latest version of article and code available at http://symmys.com/node/153



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