Dynamic modeling of mean-reverting spreads for statistical arbitrage

Computational Management Science

Volumn 8, Issue 1-2, 2011, Pages 23-49

  Triantafyllopoulos, K ^a   Montana, G ^b  

^a UNIVERSITY OF SHEFFIELD   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Bayesian forecasting; Dynamic regression; Mean reversion; Pairs trading; State space model; Statistical arbitrage; Time varying autoregressive processes

Indexed keywords

EID: 79952449678     PISSN: 1619697X     EISSN: 16196988     Source Type: Journal    
DOI: 10.1007/s10287-009-0105-8     Document Type: Article

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