Abstract

http://ssrn.com/abstract=1404905
 
 

References (3)



 
 

Citations (2)



 


 



Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck


Attilio Meucci


ARPM - Advanced Risk and Portfolio Management

May 14, 2009


Abstract:     
We introduce the multivariate Ornstein-Uhlenbeck and discuss how it generalizes a vast class of continuous-time and discrete-time multivariate processes. Relying on the simple geometrical interpretation of the dynamics of the Ornstein-Uhlenbeck process we introduce cointegration and its relationship to statistical arbitrage. We illustrate an application to swap contract strategies. Fully documented code illustrating the theory and the applications is available at MATLAB Central.

Number of Pages in PDF File: 20

Keywords: alpha, z-score, signal, half-life, vector-autoregression (VAR), moving average (MA), VARMA, stationary, unit-root, mean-reversion, Levy processes

JEL Classification: C1, G11


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Date posted: May 15, 2009 ; Last revised: December 6, 2010

Suggested Citation

Meucci, Attilio, Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck (May 14, 2009). Available at SSRN: http://ssrn.com/abstract=1404905 or http://dx.doi.org/10.2139/ssrn.1404905

Contact Information

Attilio Meucci (Contact Author)
ARPM - Advanced Risk and Portfolio Management ( email )
HOME PAGE: http://www.arpm.co/
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