Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading (Q4922846)
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scientific article; zbMATH DE number 6170284
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading |
scientific article; zbMATH DE number 6170284 |
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Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading (English)
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4 June 2013
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statistical arbitrage
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mean-reversion
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market-neutral
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trading
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recursive least squares
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variable forgetting factor
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adaptive filtering
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