Dynamic modeling of mean-reverting spreads for statistical arbitrage

DOI10.1007/s10287-009-0105-8zbMath1214.91142arXiv0808.1710MaRDI 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 processes; mean reversion; state space model; Bayesian forecasting; pairs trading; dynamic regression; statistical arbitrage

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

Uses Software

• elicit-normlin