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Stochastic spread method for pairs trading by Elliot et. al (2005) - Kalman filter + EM algorithm in MATLAB, am I doing something wrong?
I am implementing the Stochastic spread method for pairs trading by Elliott et. al (2005). The procedure consists of modeling...
plus de 10 ans il y a | 1 réponse | 0
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Is there a way to find the most cointegrated pair between multiple time series? (Pair trading)
Hi, I wondered if there exists a function which takes as input 1) a N x M matrix (e.g. M stocks with daily data for N days) ...
plus de 11 ans il y a | 1 réponse | 0
