Forecasting semi-stationary processes and statistical arbitrage
If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process, then we can use the moving average of the historical payoffs to forecast and the corresponding errors form a generalised mean reversion process. Th...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2020-07-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2019.1675420 |