Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck: All Files - File Exchange

Code covered by the BSD License

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

AnimateTrajectory(x,y,z)
[Mu,Th,Sig]=FitOU(Y,tau)
[Mu_t,Sig_t]=ProjectOU(x_0,t,... location
[X_t,Mu_t,Sig_t]=OUstep(X_0,t... location
[X_t,Mu_t,Sig_t]=OUstep(X_0,t... location
[X_t,Mu_t,Sig_t]=OUstepEuler(... location
h=TwoDimEllipsoid(Location,Sq... this function computes the location-dispersion ellipsoid
h=TwoDimEllipsoid(Location,Sq... this function computes the location-dispersion ellipsoid
S_CheckDiagonalization.m
S_CovarianceEvolution.m
S_DeterministicEvolution.m
S_FitProjectRates.m
S_StatArbSwaps.m
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from Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck by Attilio Meucci
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation

All files for Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

/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
/license.txt

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

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