HudsonThames/ArbitrageLab
[ArbLab] 1. Cointegration (5)Multivariate Cointegration Strategy
알파트로스
2024. 7. 8. 22:00
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Multivariate Cointegration Strategy — arbitragelab 1.0.0 documentation
\[ \begin{align}\begin{aligned}\Bigg \lfloor \frac{-b^i C \text{ sgn} \bigg( \sum_{p=1}^{P} Z_{t-p} \bigg)}{P_t^i \sum_{j \in L} b^j} \Bigg \rfloor, \: i \in L\\\Bigg \lfloor \frac{b^i C \text{ sgn} \bigg( \sum_{p=1}^{P} Z_{t-p} \bigg)}{P_t^i \sum_{j \in L
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Multivariate Cointegration Framework — arbitragelab 1.0.0 documentation
For each time period, trade \(-b^i C \sum_{p=1}^{\infty} Z_{t-p}\) value of asset \(i, \: i=1, \ldots, N\)
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