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

version 1.3 (143 KB) by

Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation

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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

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1.3

updated references

1.2

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

1.1

updated documentation link

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