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The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage

Wang, Jianbo LU and Fang, Jianyang LU (2017) NEKN02 20171
Department of Economics
Abstract
Statistical arbitrage is widely used in the quantitative based trading strategies. In this paper, we mainly use Ornstein-Uhlenbeck (O-U) process model and the GARCH model to estimate the parameters and verify trading signals for the statistical arbitrage. In addition, a new model is created through the combination of O-U model and GARCH model. To estimate the models, HuangXia Bank and Industrial Bank are selected due to the highest correlation among the banks.
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author
Wang, Jianbo LU and Fang, Jianyang LU
supervisor
organization
course
NEKN02 20171
year
type
H1 - Master's Degree (One Year)
subject
keywords
statistical arbitrage, Ornstein-Uhlenbeck model, GARCH model
language
English
id
8913459
date added to LUP
2017-06-13 15:18:00
date last changed
2017-06-13 15:18:00
@misc{8913459,
  abstract     = {Statistical arbitrage is widely used in the quantitative based trading strategies. In this paper, we mainly use Ornstein-Uhlenbeck (O-U) process model and the GARCH model to estimate the parameters and verify trading signals for the statistical arbitrage. In addition, a new model is created through the combination of O-U model and GARCH model. To estimate the models, HuangXia Bank and Industrial Bank are selected due to the highest correlation among the banks.},
  author       = {Wang, Jianbo and Fang, Jianyang},
  keyword      = {statistical arbitrage,Ornstein-Uhlenbeck model,GARCH model},
  language     = {eng},
  note         = {Student Paper},
  title        = {The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage},
  year         = {2017},
}