Cointegration and statistical arbitrage

01.09.2015 - 31.12.2015
Research funding project

People

Project leader

Institute

Grant funds

  • FFG - Österr. Forschungsförderungs- gesellschaft mbH (National) Group Basic programs Austrian Research Promotion Agency (FFG) Specific program Innovationsscheck € 5.000,-

Research focus

  • Mathematical Methods in Economics: 100%

Keywords

GermanEnglish
Kointegrationcointegration
statistische Arbitragestatistical arbitrage
high frequency datahigh frequency data

External partner

  • PS Quant OG

Publications