Dynamic modeling of mean-reverting spreads for statistical arbitrage

DOI10.1007/s10287-009-0105-8zbMath1214.91142arXiv0808.1710OpenAlexW2102084986MaRDI QIDQ545522

Yong-Cai Geng, Sumit K. Garg

Publication date: 22 June 2011

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.1710

zbMATH Keywords

time-varying autoregressive processesmean reversionstate space modelBayesian forecastingpairs tradingdynamic regressionstatistical arbitrage

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (9)

A pairs trading strategy based on linear state space models and the Kalman filter ⋮ Pairs trading with partial cointegration ⋮ MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS ⋮ Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading ⋮ Pairs trading with partial cointegration ⋮ Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach ⋮ A local unit root test in mean for financial time series ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models ⋮ OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

Uses Software

• elicit-normlin

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