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Pairs trading with general state space models在Full article: Pairs trading with general state space models的討論與評價
由 G Zhang 著作 · 2021 · 被引用 2 次 — This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an unobservable ...
Pairs trading with general state space models在Pairs Trading with Nonlinear and Non-Gaussian State Space ...的討論與評價
This paper studies pairs trading using a nonlinear and non-Gaussian state-space model framework. We model the spread between the prices of two ...
Pairs trading with general state space models在Pairs trading with general state space models | Request PDF的討論與評價
This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an ...
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Pairs trading with general state space models在Pairs trading with general state space models - IDEAS/RePEc的討論與評價
This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an unobservable ...
Pairs trading with general state space models在Pairs trading with general state space models,Quantitative ...的討論與評價
This study examines pairs trading using a general state space model framework. It models the spread between the prices of two assets as an ...
Pairs trading with general state space models在A pairs trading strategy based on linear state ... - Dean Street的討論與評價
Keywords: Kalman filter; Mean-reverting conditional probabilities; Pair; Pairs trading; Spread; State space models; Statistical arbitrage.
Pairs trading with general state space models在A pairs trading strategy based on linear state space models ...的討論與評價
state space models, statistical arbitrage. ... In general terms, a pairs ... For richer expositions on the theme and more general definitions, see [21], ...
Pairs trading with general state space models在Pairs Trading. Modeling the spread as Gaussian state-space ...的討論與評價
This article is based on the paper 'A new approach to modeling and estimation for pairs trading' (Do et al. 2006). It is similar to another paper I ...
Pairs trading with general state space models在Pairs Trading - HKUST的討論與評價
From Pairs Trading to Statistical Arbitrage (StatArb) ... Durbin and S. J. Koopman, Time Series Analysis by State Space Methods, 2nd Ed. Oxford University.
Pairs trading with general state space models在State Space Models and the Kalman Filter - QuantStart的討論與評價
State space models are very general and it is possible to put the models we have ... the Kalman Filter to trading situations, such as cointegrated pairs, ...