Essays about: "Markov Regime Switch ing Models"

Found 1 essay containing the words Markov Regime Switch ing Models.

  1. 1. Algorithmic Trading in CDS and Equity Indices Using Statistical Arbitrage

    University essay from Lunds universitet/Matematisk statistik

    Author : Melker Samuelsson; Tobias Ek; [2017]
    Keywords : Algorithmic Trading; CDS indices; Equity futures; Markov Regime Switch ing Models; Cointegration; Mathematics and Statistics;

    Abstract : Historical data shows a strong relationship between hourly changes in CDS index iTraxx Main and equity futures EURO STOXX 50. We hypothesize that the relatively stable relationship should allow us to trade the two markets. READ MORE