Cointegrated assets : identification and trading

• المؤلف الرئيسي: Soo, Doreen Wei Shan
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Science::Mathematics::Statistics; Business::Finance::Investments
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/146098
• المؤسسة: Nanyang Technological University

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...