Cointegrated assets : identification and trading
Cointegration is a statistical property possessed by some multivariate time series that is defined by the concepts of stationarity and the order of integration of the series. When each component of a multivariate time series is non-stationary but certain linear combinations of these non-stationary c...
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| 格式: | Final Year Project (FYP) |
| 语言: | English |
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Nanyang Technological University
2021
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| 在线阅读: | https://hdl.handle.net/10356/146098 |