Essays about: "Jianbo Wang"
Found 1 essay containing the words Jianbo Wang.
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1. The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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. READ MORE
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