Review of Statistical Arbitrage , Cointegration , and Multivariate Ornstein - Uhlenbeck
نویسنده
چکیده
We introduce the multivariate Ornstein-Uhlenbeck process, solve it analytically, and discuss how it generalizes a vast class of continuous-time and discretetime multivariate processes. Relying on the simple geometrical interpretation of the dynamics of the Ornstein-Uhlenbeck process we introduce cointegration and its relationship to statistical arbitrage. We illustrate an application to swap contract strategies. Fully documented code illustrating the theory and the applications is available at www.symmys.com ⇒ Teaching ⇒ MATLAB. JEL Classification: C1, G11
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