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Results tagged with ornstein-uhlenbeck
Search options questions only
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user 35757
2
votes
0
answers
795
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Testing the fit of an Ornstein-Uhlenbeck process
I would like to check if a time-series follows an Ornstein-Uhlenbeck process defined by an SDE:
$$dX_t - \lambda (\mu - X_t) dt = \sigma dW_t$$
where
$\lambda > 0$ is the mean-reversion coefficient
$ …
- 165
0
votes
1
answer
1k
views
Calibrating the Ornstein-Uhlenbeck process with an additional parameter
Firstly I find the spread between two cointegrated time-series $Y_t$ and $Z_t$ by finding the best slope parameter $\beta$ in the equation $spread_t = Y_t - \beta Z_t$ (via Cointegrated Dickey-Fuller …
- 165
0
votes
1
answer
334
views
Pairs trading by transforming two cointegrated series into a mean-reverting process?
I am slightly confused about the following.
Let us assume I have two cointegrated time-series. I would like to model their 'cointegration' by a mean-reverting Ornstein-Uhlenbeck process since if they …
- 988