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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

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14 May 2009 (Updated )

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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19 Mar 2016 Gelana Khazeeva  
30 Jan 2013 Hiroshi Ichiki  
Updates
15 May 2009 1.1

updated documentation link

29 Jul 2009 1.2

Added trading signals based on z-score bands and expected time before cashing in on trades

09 May 2011 1.3

updated references

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