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Abstrakty
A long-run trading strategy based on cointegration relationship between prices of two commodities is considered. A linear combination of the prices is assumed to be a stationary AR(1) process. In some range of parameters, AR(1) process is obtained by discrete sampling of Ornstein-Uhlenbeck process. This allows to calculate approximate number of transactions in long run trade horizon and obtain approximate upper bound for possible gain. (original abstract)
Słowa kluczowe
Rocznik
Tom
Numer
Strony
110--117
Opis fizyczny
Twórcy
autor
- Szkoła Główna Handlowa w Warszawie
Bibliografia
- Alili L., Patie P., Pedersen J.L. (2005). Representation of the first hitting time density of an Ornstein-Uhlenbeck process. Stoch. Models 21 967--980.
- Brockwell P.J., Marquardt T. (2005). Lévy driven and fractionally integrated ARMA processes with continuous time parameter Statistica Sinica 15 474--494.
- Engle R.F., Granger C.W.J. (1987). Cointegration and Error-Correction: Representation, Estimation and Testing. Econometrica 55 251--276.
- Łochowski R. (2007) Stopping time for Ornstein-Uhlenbeck process vs. stopping time for discrete AR(1) process, reprint available from web page http://akson.sgh.waw.pl/~rlocho/stoppingtime2.pdf
- Rolski T., Schmidli H., Schmidt V., Teugels J. (1998) Stochastic Processes for Insurance and Finance. Wiley, Chichester New York Weinheim Brisbane Singapore Toronto.
- Ricciardi L.M., Sato S. (1988). First-passage time density and moments of the Ornstein-Uhlenbeck process. J. Appl. Probab. 25 43--57.
- Thomas M.U. (1975). Some mean first-passage time approximations for the Ornstein-Uhlenbeck process. J. Appl. Probab. 12 600-604.
Typ dokumentu
Bibliografia
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