High-frequency stock linkage and multi-dimensional stationary processes
type: Item
instance of: scholarly article
title: High-frequency stock linkage and multi-dimensional stationary processes
zbMATH Open document ID: 1400.91671
author: R. Smith
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60G10
zbMATH DE Number: 6978764
zbMATH Keywords: linkage
zbMATH Keywords: multi-dimensional stationary process
zbMATH Keywords: testing program
zbMATH Keywords: ergodic theorem
zbMATH Keywords: convergence
MaRDI profile type: Publication
full work available at URL: j.physa.2016.10.019
OpenAlex ID: W2537950463
cites work: Pairs trading
cites work: Statistical arbitrage in the US equities market
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
cites work: Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
cites work: Q4330499
DOI: 10.1016/J.PHYSA.2016.10.019
description: scientific article; zbMATH DE number 6978764