Matthew Clegg

Independent

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Scholarly Papers (2)

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1.

On the Persistence of Cointegration in Pairs Trading

Number of pages: 25 Posted: 05 Sep 2014
Matthew Clegg
Independent
Downloads 1,650 (12,080)
Citation 3

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cointegration, pairs trading, quantitative finance

2.

Modeling Time Series with Both Permanent and Transient Components Using the Partially Autoregressive Model

Number of pages: 35 Posted: 30 Jan 2015
Matthew Clegg
Independent
Downloads 408 (83,748)
Citation 3

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time series, mean reversion