Dynamic modeling of mean-reverting spreads for statistical arbitrage (Q545522)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic modeling of mean-reverting spreads for statistical arbitrage |
scientific article |
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Dynamic modeling of mean-reverting spreads for statistical arbitrage (English)
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22 June 2011
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mean reversion
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statistical arbitrage
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pairs trading
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state space model
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time-varying autoregressive processes
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dynamic regression
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Bayesian forecasting
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