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

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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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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
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
finance Jon-Patrick Cook 17 Sep 2010 23:30:19
statistical arbitrage Jacob 01 Dec 2010 12:46:46
portfolio management Attilio Meucci 10 May 2011 16:07:22
quantitative finance Attilio Meucci 10 May 2011 16:07:22
risk management Attilio Meucci 10 May 2011 16:07:22
statistics ole 29 Nov 2011 01:06:50
finance Alexander 10 Dec 2011 08:15:22
statistical arbitrage Robin Zhang 31 Dec 2011 02:03:34
statistics Robin Zhang 31 Dec 2011 02:04:13

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