Ian Gregory

The University of Sydney - School of Mathematics and Statistics

Sydney, New South Wales 2006

Australia

SCHOLARLY PAPERS

3

DOWNLOADS
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Scholarly Papers (3)

1.

Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 40 Posted: 25 Aug 2010 Last Revised: 05 Apr 2011
The University of Sydney - School of Mathematics and Statistics, University of Glasgow and affiliation not provided to SSRN
Downloads 838 (27,332)

Abstract:

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Pair trading, mean hitting time, Cox-Ingersoll-Ross, GARCH Diffusion, Ornstein Uhlenbeck, Ratio, Spread

2.

After Tax Payoff of CPPI

Number of pages: 14 Posted: 05 Apr 2011
The University of Sydney - School of Mathematics and Statistics, University of Glasgow and affiliation not provided to SSRN
Downloads 69 (325,763)

Abstract:

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3.

Deviance Critical Values for Finite Sample Size When Testing the Reduction of Gaussian AR(1)-(G)ARCH(1,1) to Random Walk: Results from MATLAB vs. R-Project

Number of pages: 20 Posted: 05 Apr 2011
Ian Gregory and Shelton Peiris
The University of Sydney - School of Mathematics and Statistics and The University of Sydney
Downloads 41 (412,703)

Abstract:

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