Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios (Q2898811)
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scientific article; zbMATH DE number 6054970
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios |
scientific article; zbMATH DE number 6054970 |
Statements
12 July 2012
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mean reversion
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sparse estimation
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convergence trading
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VAR(1) model
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covariance selection
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financial time series
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Improved parameter estimation and simple trading algorithm for sparse, mean reverting port\-folios (English)
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