A pairs trading strategy based on linear state space models and the Kalman filter (Q4554227)
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scientific article; zbMATH DE number 6976825
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A pairs trading strategy based on linear state space models and the Kalman filter |
scientific article; zbMATH DE number 6976825 |
Statements
A pairs trading strategy based on linear state space models and the Kalman filter (English)
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13 November 2018
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Kalman filter
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mean-reverting conditional probabilities
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pairs trading
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spread
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state space models
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statistical arbitrage
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