168 research outputs found
Dynamic modeling of mean-reverting spreads for statistical arbitrage
Statistical arbitrage strategies, such as pairs trading and its
generalizations, rely on the construction of mean-reverting spreads enjoying a
certain degree of predictability. Gaussian linear state-space processes have
recently been proposed as a model for such spreads under the assumption that
the observed process is a noisy realization of some hidden states. Real-time
estimation of the unobserved spread process can reveal temporary market
inefficiencies which can then be exploited to generate excess returns. Building
on previous work, we embrace the state-space framework for modeling spread
processes and extend this methodology along three different directions. First,
we introduce time-dependency in the model parameters, which allows for quick
adaptation to changes in the data generating process. Second, we provide an
on-line estimation algorithm that can be constantly run in real-time. Being
computationally fast, the algorithm is particularly suitable for building
aggressive trading strategies based on high-frequency data and may be used as a
monitoring device for mean-reversion. Finally, our framework naturally provides
informative uncertainty measures of all the estimated parameters. Experimental
results based on Monte Carlo simulations and historical equity data are
discussed, including a co-integration relationship involving two
exchange-traded funds.Comment: 34 pages, 6 figures. Submitte
Limiting distributions for explosive PAR(1) time series with strongly mixing innovation
This work deals with the limiting distribution of the least squares
estimators of the coefficients a r of an explosive periodic autoregressive of
order 1 (PAR(1)) time series X r = a r X r--1 +u r when the innovation {u k }
is strongly mixing. More precisely {a r } is a periodic sequence of real
numbers with period P \textgreater{} 0 and such that P r=1 |a r |
\textgreater{} 1. The time series {u r } is periodically distributed with the
same period P and satisfies the strong mixing property, so the random variables
u r can be correlated
Let's Get Lade: Robust Estimation of Semiparametric Multiplicative Volatility Models
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility is totally unspeci.ed whereas the short-run conditional volatility is a parametric semi-strong GARCH (1,1) process. We propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory of the proposed estimators. Numerical results lend support to our theoretical results
Catálogo de autoridades da Rede BIM (DPHDM): Estudo de caso no tratamento de registros de pontos de acesso
Identificar possíveis problemas na alimentação da base de autoridades de assuntos da Rede BIM através da utilização do software Pergamum, e contribuir para padronização de seus pontos de acesso. A partir da revisão da literatura proposta, considera a importância da recuperação da informação para sua disseminação e ainda faz um breve levantamento dos padrões internacionais utilizados para esse fim. A metodologia utilizada envolveu a análise da base, limitada à letra “c” do alfabeto, e se propôs a detectar possíveis inconsistências existentes. Os principais problemas encontrados foram: falhas de grafia, falhas de entrada de cabeçalhos e duplicidade de assuntos. Os resultados práticos para a Rede BIM são: agilização dos serviços de catalogação e referência da Rede BIM, maior controle bibliográfico e facilidade na recuperação de itens nas pesquisas dos usuários. O Estudo de caso se propõe a contribuir com esclarecimentos quanto a equívocos cometidos, de forma a auxiliar na padronização e documentação do processo de alimentação da base de autoridades de assuntos pelos bibliotecários das 45 organizações militares, possibilitando benefícios aos serviços de catalogação e referência e finalmente, propiciando um atendimento mais prático e ágil ao usuário da Rede BIM
Erratum to: Methods for evaluating medical tests and biomarkers
[This corrects the article DOI: 10.1186/s41512-016-0001-y.]
- …