A pairs trading strategy based on linear state space models and the Kalman filter

DOI10.1080/14697688.2016.1164886zbMath1400.91537OpenAlexW2345218538MaRDI QIDQ4554227

Jorge P. Zubelli, Carlos Eduardo de Moura, Adrian Pizzinga

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1164886

zbMATH Keywords

Kalman filterstate space modelsspreadpairs tradingstatistical arbitragemean-reverting conditional probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (6)

Pairs trading with partial cointegration ⋮ A hybrid convolutional neural network with long short-term memory for statistical arbitrage ⋮ Stochastic transmission in epidemiological models ⋮ Pairs trading with partial cointegration ⋮ Robust statistical arbitrage strategies ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

Uses Software

• astsa
• itsmr
• QSIMVN

Cites Work

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