Sökning: "Jianyang Fang"

Hittade 1 uppsats innehållade orden Jianyang Fang.

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

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jianbo Wang; Jianyang Fang; [2017]
    Nyckelord :statistical arbitrage; Ornstein-Uhlenbeck model; GARCH model; Business and Economics;

    Sammanfattning : 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. LÄS MER