التفاصيل البيبلوغرافية
| العنوان: |
The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage |
| المؤلفون: |
Wang, Jianbo, Fang, Jianyang |
| بيانات النشر: |
Lunds universitet/Nationalekonomiska institutionen |
| سنة النشر: |
2017 |
| المجموعة: |
Lund University Publications Student Papers (LUP-SP) |
| مصطلحات موضوعية: |
statistical arbitrage, Ornstein-Uhlenbeck model, GARCH model, Business and Economics |
| الوصف: |
Statistical arbitrage is widely used in the quantitative based trading strategies. In this paper, we mainly use Ornstein-Uhlenbeck (O-U) process model and the GARCH model to estimate the parameters and verify trading signals for the statistical arbitrage. In addition, a new model is created through the combination of O-U model and GARCH model. To estimate the models, HuangXia Bank and Industrial Bank are selected due to the highest correlation among the banks. |
| نوع الوثيقة: |
other/unknown material |
| وصف الملف: |
application/pdf |
| اللغة: |
English |
| العلاقة: |
http://lup.lub.lu.se/student-papers/record/8913459Test |
| الإتاحة: |
http://lup.lub.lu.se/student-papers/record/8913459Test |
| رقم الانضمام: |
edsbas.C8748B25 |
| قاعدة البيانات: |
BASE |
