Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading

DOI10.1007/978-1-4614-5076-4_9zbMath1264.62101OpenAlexW325687831MaRDI QIDQ4922846

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Publication date: 4 June 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-5076-4_9

zbMATH Keywords

adaptive filteringrecursive least squaresmean-reversiontradingstatistical arbitragevariable forgetting factormarket-neutral

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Trade models (91B60)

Cites Work

• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• State-space recursive least-squares with adaptive memory
• Trading a mean-reverting asset: buy low and sell high
• Pairs trading

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