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Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

14 May 2009 (Updated 29 Jul 2009)

Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation

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", available here http://ssrn.com/abstract=1404905
MATLAB release	MATLAB 7.3 (R2006b)
Zip File Content
Other Files	license.txt, MultivariateOUnCointegration/Empirical/DB_SwapParRates.mat, MultivariateOUnCointegration/Empirical/FitOU.m, MultivariateOUnCointegration/Empirical/OUstep.m, MultivariateOUnCointegration/Empirical/ProjectOU.m, MultivariateOUnCointegration/Empirical/S_FitProjectRates.m, MultivariateOUnCointegration/Empirical/S_StatArbSwaps.m, MultivariateOUnCointegration/Empirical/Thumbs.db, MultivariateOUnCointegration/Empirical/TwoDimEllipsoid.m, MultivariateOUnCointegration/ReadMe.txt, MultivariateOUnCointegration/Theory/AnimateTrajectory.m, MultivariateOUnCointegration/Theory/OUstep.m, MultivariateOUnCointegration/Theory/OUstepEuler.m, MultivariateOUnCointegration/Theory/S_CheckDiagonalization.m, MultivariateOUnCointegration/Theory/S_CovarianceEvolution.m, MultivariateOUnCointegration/Theory/S_DeterministicEvolution.m, MultivariateOUnCointegration/Theory/TwoDimEllipsoid.m

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Everyone's Tags	finance(3), statistical arbitrage(2), statistics(2)
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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

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Attilio Meucci	15 May 2009 10:12:19
statistics	Attilio Meucci	15 May 2009 10:12:19
finance	Tan Dem	19 Aug 2009 11:22:45
statistics	Tan Dem	19 Aug 2009 11:22:52
statistical arbitrage	Tan Dem	19 Aug 2009 11:23:00
statistical arbitrage	Jie	24 Aug 2009 10:21:21
finance	Felipe	12 Oct 2009 23:33:25

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