Dynamic modeling of mean-reverting spreads for statistical arbitrage

Kostas Triantafyllopoulos () and Giovanni Montana ()

Computational Management Science, 2011, vol. 8, issue 1, 23-49

Keywords: Mean reversion; Statistical arbitrage; Pairs trading; State space model; Time-varying autoregressive processes; Dynamic regression; Bayesian forecasting; 91B84; 91B28; 62M10 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (17)

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Working Paper: Dynamic modeling of mean-reverting spreads for statistical arbitrage (2009)
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DOI: 10.1007/s10287-009-0105-8

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