Basket trading under co-integration with the logistic mixture autoregressive model

Quantitative Finance

Volumn 11, Issue 9, 2011, Pages 1407-1419

  Cheng, Xixin ^a   Yu, Philip L H ^a   Li, W K ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Basket trading; Co integration; Em algorithm; Logistic mixture; Relative value trading

Indexed keywords

EID: 80052298848     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2010.506445     Document Type: Article

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