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iSpread pro guide

  • Pdf_16x16 46 Pages
  • bkmrkr uploaded this 5 months ago
  • 138 views
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Statistical Inference in Calibrated Models

  • Pdf_16x16 27 Pages
  • bkmrkr uploaded this about 1 year ago
  • 233 views
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Statistical Arbitrage Models of FTSE 100

In this paper we describe a set of statistical arbitrage models which exploit relative value relationships amongst the constituents of the FTSE 100. Rather than estimating cointegration vectors of high dimensionality, a stepwise regression approach is used to identify the most appropriate subspace for the stochastic detrending of each individual equity price. A Monte Carlo simulation is used...
  • Pdf_16x16 11 Pages
  • bkmrkr uploaded this about 1 year ago
  • 5042 views
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