Dynamic modeling of mean-reverting spreads for statistical arbitrage-Reference-Cited by-同舟云学术

Dynamic modeling of mean-reverting spreads for statistical arbitrage

Published:2009-09-16 Issue:1-2 Volume:8 Page:23-49
ISSN:1619-697X
Container-title:Computational Management Science
language:en
Short-container-title:Comput Manag Sci

Author:

Triantafyllopoulos K.,Montana G.

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Management Information Systems

Link

http://link.springer.com/content/pdf/10.1007/s10287-009-0105-8.pdf

Reference59 articles.

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