Forecasting semi-stationary processes and statistical arbitrage

DOI10.1080/24754269.2019.1675420OpenAlexW2980332338WikidataQ127148474 ScholiaQ127148474MaRDI QIDQ5880049

Yu Zhou, Shi Chen, Wei An Zheng, Si Bao

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2019.1675420

zbMATH Keywords

Black-Scholes modelstationary processmean reversionstatistical arbitrage

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The Pricing of Options and Corporate Liabilities
• On the structure of moving average processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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