Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

Version 1.3.0.0 (143 KB) by Attilio Meucci
Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation
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8.1K Downloads
Updated 9 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci (2009) , "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck",

Latest version of article and code available at http://symmys.com/node/132

Cite As

Attilio Meucci (2024). Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck (https://www.mathworks.com/matlabcentral/fileexchange/24120-review-of-statistical-arbitrage-cointegration-and-multivariate-ornstein-uhlenbeck), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
Platform Compatibility
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MultivariateOUnCointegration/Empirical/

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Version Published Release Notes
1.3.0.0

updated references
1.2.0.0

Added trading signals based on z-score bands and expected time before cashing in on trades
1.1.0.0

updated documentation link
1.0.0.0