Basket trading under co-integration with the logistic mixture autoregressive model (Q2866372)
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scientific article; zbMATH DE number 6238217
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Basket trading under co-integration with the logistic mixture autoregressive model |
scientific article; zbMATH DE number 6238217 |
Statements
Basket trading under co-integration with the logistic mixture autoregressive model (English)
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13 December 2013
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basket trading
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co-integration
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logistic mixture
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EM algorithm
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relative value trading
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0.741054892539978
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0.7359014749526978
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0.7281571626663208
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0.7271404266357422
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0.7155036926269531
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