Code covered by the BSD License
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AnimateTrajectory(x,y,z)
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[Mu,Th,Sig]=FitOU(Y,tau)
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[Mu_t,Sig_t]=ProjectOU(x_0,t,...
location
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[X_t,Mu_t,Sig_t]=OUstep(X_0,t...
location
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[X_t,Mu_t,Sig_t]=OUstep(X_0,t...
location
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[X_t,Mu_t,Sig_t]=OUstepEuler(...
location
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h=TwoDimEllipsoid(Location,Sq...
this function computes the location-dispersion ellipsoid
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h=TwoDimEllipsoid(Location,Sq...
this function computes the location-dispersion ellipsoid
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S_CheckDiagonalization.m
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S_CovarianceEvolution.m
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S_DeterministicEvolution.m
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S_FitProjectRates.m
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S_StatArbSwaps.m
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View all files
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
by Attilio Meucci
14 May 2009
(Updated 09 May 2011)
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
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Watch this File
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| File Information |
| Description |
To walk through the code and for a thorough description, refer to
A. Meucci (2009) , "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck",
Latest version of article and code available at http://symmys.com/node/132 |
| MATLAB release |
MATLAB 7.3 (R2006b)
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| Updates |
| 15 May 2009 |
updated documentation link |
| 29 Jul 2009 |
Added trading signals based on z-score bands and expected time before cashing in on trades |
| 09 May 2011 |
updated references |
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