Dynamic modeling of mean-reverting spreads for statistical arbitrage
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- Kostas Triantafyllopoulos & Giovanni Montana, 2008. "Dynamic modeling of mean-reverting spreads for statistical arbitrage," Papers 0808.1710, arXiv.org, revised May 2009.
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More about this item
KeywordsMean reversion; Statistical arbitrage; Pairs trading; State space model; Time-varying autoregressive processes; Dynamic regression; Bayesian forecasting; 91B84; 91B28; 62M10;
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