The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage
(2017) NEKN02 20171Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8913459
- author
- Wang, Jianbo LU and Fang, Jianyang LU
- supervisor
- organization
- course
- NEKN02 20171
- year
- 2017
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage}}, year = {{2017}}, }