Friday, May 25, 2018

pairs trading - How can I estimate the Ornstein-Uhlenbeck paramters of some mean reverting data that I have on R?


I have mean reverting data (Difference of 2 stock prices, that I want to do pairs trading on). I want to simulate my own mean reverting data as similar as possible to the real data that I have.


The approach that I want to take is Least Squares Regression. Maximum Likelihood is too complicated.


Thank you all.




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